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Fx Options And Smile Risk (Cód: 9236332)

Castagna; Castagna,Antonio

John Wiley & Sons

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Descrição

The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader. This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures. Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools to cope with the FX volatility risk. It then goes on to review the main concepts of option pricing theory and their application within a Black-Scholes economy and a stochastic volatility environment. The book also introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising from the hedging activity. Coverage includes: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options' book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book. 'The next generation FX Options book has arrived: Antonio Castagna has written up many years of his practical experience at the trading floor of Banca IMI. It is a valuable collection of key ideas concerning the FX smile surface and hedging of first generation exotics. I am very please Antonio took time to share his intuitive insights.' --Uwe Wystup, Managing Director of MathFinance AG 'If you are really interested in hard science and technology of FX options market making, this is probably the best source from which to learn - most of the books content goes far beyond anything to be found in other monographs on the same subject. Strongly recommended.' --Dariusz Gatarek, National Bank of Poland, Advisor to the Board 'Antonio Castagna formalizes the principles and concepts he has used during his trading activity on the FX market, an important asset class that occasionally does not receive the attention it deserves. Attention is given to a wide range of topics, ranging a wide spectrum between theory and practice, from market quoting conventions to volatility surfaces, change of measure techniques, dynamic arbitrage-free models, hedging and risk analysis. Among the several techniques presented to deal with volatility smile consistent pricing, I am glad room has been given to the mixture dynamics, one of the few tractable approaches where the Markovian projection is explicit and realized in the mixture diffusion and the uncertain volatility models, with striking results in the correlation between volatility and underlying in the projected diffusion version. Overall this is an interesting and eclectic book for readers interested in learning or expanding their knowledge of the FX volatility market.' --Damiano Brigo, Managing Director, FitchSolutions, London

Características

Produto sob encomenda Sim
Marca John Wiley & Sons
Cód. Barras 9780470754191
Altura 25.25 cm
I.S.B.N. 9780470754191
Profundidade 2.39 cm
Referência 009867551
Acabamento Capa dura
Ano da edição 2010
Idioma Inglês
Número de Páginas 320
Peso 0.72 Kg
Largura 18.19 cm
AutorCastagna; Castagna,Antonio

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Fx Options And Smile Risk (Cód: 9236332) Fx Options And Smile Risk (Cód: 9236332)
R$ 727,40
Fx Options And Smile Risk (Cód: 9236332) Fx Options And Smile Risk (Cód: 9236332)
R$ 727,40