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Ask Seller a Question. John Wiley and 38; Sons. 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. 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 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.
Overall this is an interesting and eclectic book for readers interested in learning or expanding their knowledge of the FX volatility market. Ordering - Please place your order via the AbeBooks website and allow up to 2 working days for dispatch from either our US or UK warehouse.
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