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 castagna 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 smile concepts of option pricing theory and their application within download Black-Scholes economy and a stochastic volatility environment. The book options introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising antonio the hedging activity. The book is accompanied by a CD Rom featuring models in VBA, risk many of the approaches described in the book. Prices are valid for Castagna. Change location to view local pricing and availability. Request permission to reuse content from this title. Download are now subscribed to our email alert for Download Technology. Our Solutions, Your Way. Home Subjects About Wiley Contact Us Help Search Form Search Input. FX Options and Smile And Antonio Castagna. Options The FX options market represents one of options most liquid and strongly competitive markets in the world, and features smile technical subtleties that can seriously harm the uninformed and unaware trader. Table of Contents And. Author Information Antonio Castagna is currently partner and co-founder options the consulting company Iason ltd, providing support to financial institutions for the design of models to price complex derivatives and to measure a wide range of risks, including credit and liquidity. Antonio graduated in Finance from LUISS University, Rome, in with a thesis on American options and the numerical download for their valuation. Antonio has written a number risk papers on credit derivatives, managing of exotic options risks and volatility smiles. Antonio is often invited to academic and post-graduate courses. Measuring and Managing Liquidity Risk. Handbook of Exchange Rates. Model Calibration in Imperfect Markets. Rare Event Simulation using Monte Carlo Methods. CDOs and Structured Credit Products, antonio Edition. Derivative Products and Pricing: The Das Swaps and Financial Derivatives Library, 3rd Options Revised. Digital version available through Wiley Online Library. X To apply for permission please send your request to permissions wiley. This should include, the Wiley title sand the specific portion of the content you wish to re-use e. If this is a republication request please include details of the new work in which the Wiley content will appear. 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In connection with the latter, she also looked at the Victoria Building at Liverpool University.
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