FX Options and Smile Risk
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Description Practical issues in FX options and smile risk FX Options and Smile Risk takes readers through the main technicalities of the FX spot and options markets, helping them develop practical trading skills that will enable them to run an FX options book in the real consistent pricing and hedging of an fx options book. It describes how to build FX volatility surfaces in robust and consistent ways and how to use them in the pricing of vanilla and exotic options.
It enables readers to effectively hedge exposures to volatility surface and other risks related to exotic options. It's highly focused on the practical aspects of the pricing and hedging of the typical risks of an FX options desk and deals with the momentous issues of building consistent volatility matrices and a unified approach to pricing and hedging. Antonio Castagna Milan, Italy is a Consultant at Iason Ltd, providing pricing and risk management expertise for complex products.
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The Conscious Investor John Price. Flap copy consistent pricing and hedging of an fx options book 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. 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 consistent pricing and hedging of an fx options book 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.
Table of contents Preface. About Antonio Castagna Antonio Castagna is currently partner and co-founder of 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 consistent pricing and hedging of an fx options book risks, including credit and liquidity.
Antonio has written a number of papers on credit derivatives, managing of exotic options risks and volatility smiles. He is often invited to academic and post-graduate courses. Book ratings by Goodreads. Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book.