{"product_id":"9780470754191","title":"FX Options and Smile Risk","description":"\u003ch3\u003eThe Wiley Finance Series\u003c\/h3\u003e\u003ch1\u003eFX Options and Smile Risk\u003c\/h1\u003e\u003ch3\u003eAntonio Castagna\u003c\/h3\u003e\u003cdiv\u003e\u003cb\u003eBusiness \u0026amp; Economics \/ Finance \/ General\u003c\/b\u003e\u003c\/div\u003e\u003cbr\u003e\u003cdiv\u003eThe 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.  \u003cp\u003eThis 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.\u003c\/p\u003e \u003cp\u003eStarting 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.\u003c\/p\u003e \u003cp\u003eCoverage includes:\u003c\/p\u003e \u003cul type=\"disc\"\u003e \u003cli\u003ehow the Black-Scholes model is used in professional trading activity\u003c\/li\u003e \u003cli\u003ethe most suitable stochastic volatility models\u003c\/li\u003e \u003cli\u003esources of profit and loss from the Delta and volatility hedging activity\u003c\/li\u003e \u003cli\u003efundamental concepts of smile hedging\u003c\/li\u003e \u003cli\u003emajor market approaches and variations of the Vanna-Volga method\u003c\/li\u003e \u003cli\u003evolatility-related Greeks in the Black-Scholes model\u003c\/li\u003e \u003cli\u003epricing of plain vanilla options, digital options, barrier options and the less well known exotic options\u003c\/li\u003e \u003cli\u003etools for monitoring the main risks of an FX options’ book\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.\u003c\/p\u003e\n\u003c\/div\u003e\u003cdiv\u003e  \u003cb\u003eAntonio Castagna\u003c\/b\u003e 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 graduated in Finance from LUISS University, Rome, in 1995 with a thesis on American options and the numerical procedures for their valuation. He began his career in investment banking in IMI Bank, Luxemborug, as a financial analyst in the Risk Control Department before moving to Banca IMI, Milan, first as a market maker of cap\/floors and swaptions, before setting up the FX options desk and running the book of plain vanilla and exotic options on the major currencies, whilst also being responsible for the entire FX volatility trading.\u003cbr\u003e 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.\u003c\/div\u003e\u003cbr\u003e\u003ctable\u003e\n\u003ctr\u003e\n\u003ctd\u003ePublication Date: \u003c\/td\u003e\n\u003ctd\u003e26 January 2010\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003ePublisher: \u003c\/td\u003e\n\u003ctd\u003eWiley\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eImprint: \u003c\/td\u003e\n\u003ctd\u003eWiley\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eISBN-13: \u003c\/td\u003e\n\u003ctd\u003e9780470754191\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eFormat: \u003c\/td\u003e\n\u003ctd\u003eHardback\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003ePage Count: \u003c\/td\u003e\n\u003ctd\u003e320\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eWeight (oz): \u003c\/td\u003e\n\u003ctd\u003e25.76\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003c\/table\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":44378543882380,"sku":"9780470754191","price":120.6,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9780470754191.jpg?v=1780240589","url":"https:\/\/fh90cf-fv.myshopify.com\/products\/9780470754191","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}