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 activitythe most suitable stochastic
volatility modelssources of profit and loss from the Delta and
volatility hedging activityfundamental concepts of smile
hedgingmajor market approaches and variations of the Vanna-Volga
methodvolatility-related Greeks in the Black-Scholes modelpricing
of plain vanilla options, digital options, barrier options and the
less well known exotic optionstools 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.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!