1.

Record Nr.

UNINA9910140909303321

Autore

Castagna Antonio

Titolo

FX options and smile risk / / Antonio Castagna

Pubbl/distr/stampa

West Sussex, England : , : Wiley, , 2010

©2010

ISBN

1-119-20708-8

0-470-68493-3

1-282-88887-0

9786612888878

0-470-68718-5

Edizione

[1st edition]

Descrizione fisica

1 online resource (322 p.)

Collana

Wiley Finance

Disciplina

332.45

Soggetti

Foreign exchange options

Risk management

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references and index.

Nota di contenuto

FX Options and Smile Risk; Contents; Preface; Notation and Acronyms; 1 The FX Market; 2 Pricing Models for FX Options; 3 Dynamic Hedging and Volatility Trading; 4 The Volatility Surface; 5 Plain Vanilla Options; 6 Barrier Options; 7 Other Exotic Options; 8 Risk Management Tools and Analysis; 9 Correlation and FX Options; References; Index

Sommario/riassunto

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 th