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FX options and smile risk /
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. Striki...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, U.K. ; [Hoboken, N.J.] :
J. Wiley & Sons,
2010.
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| Colección: | The Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
| Sumario: | 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. Coverage includes:ul type="disc"lihow the Black-Scholes model is used in professional trading activitylithe most suitable stochastic volatility modelslisources of profit and loss from the Delta and volatility hedging activitylifundamental concepts of smile hedginglimajor market approaches and variations of the Vanna-Volga methodlivolatility-related Greeks in the Black-Scholes modellipricing of plain vanilla options, digital options, barrier options and the less well known exotic optionslitools for monitoring the main risks of an FX options' book/ul The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book. |
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| Descripción Física: | 1 online resource (1 volume) : illustrations |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781119207085 1119207088 9780470684931 0470684933 1282888870 9781282888876 9786612888878 6612888873 0470687185 9780470687185 |