Castagna fx options and smile risk

FX Options and Smile Risk Hardcover – January 19, Find all the books, read about the author, and more. 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.
Table of contents

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. It is a valuable collection of key ideas concerning the FX smile surface and hedging of first generation exotics.

FX Risk Management

I am very please Antonio took time to share his intuitive insights. Strongly recommended.

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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.

FX Options and Smile Risk (The Wiley Finance Series)

Overall this is an interesting and eclectic book for readers interested in learning or expanding their knowledge of the FX volatility market. 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 of 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. Convert currency. Add to Basket. Book Description Wiley, Condition: New. More information about this seller Contact this seller. Satisfaction Guaranteed!

FX Options and Smile Risk by Antonio Castagna (Hardback, ) for sale online | eBay

Book is in NEW condition. Seller Inventory Language: English.

Brand new Book. 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 world.

The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book. 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 of risks, including credit and liquidity.

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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. Convert currency. Add to Basket. Book Description Wiley, Condition: New. Seller Inventory n. More information about this seller Contact this seller.

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Condition: NEW. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Language: English. Brand new Book. Seller Inventory AAH Seller Inventory LHB Book Description John Wiley and 38; Sons, New Book.


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Delivered from our UK warehouse in 4 to 14 business days. Klicken Sie auf 2. Antonio Castagna is currently partner and co-founder of theconsulting company Iason ltd, providing support to financialinstitutions for the design of models to price complex derivativesand to measure a wide range of risks, including credit andliquidity.

Fx Options and Smile Risk

Antonio has written a number of papers on credit derivatives,managing of exotic options risks and volatility smiles. He is ofteninvited to academic and post-graduate courses. Notation and Acronyms.


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