Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required. To get the free app, enter your mobile phone number. 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.
Sponsored Products are advertisements for products sold by merchants on Amazon. When you click on a Sponsored Product ad, you will be taken to an Amazon detail page where you can learn more about the product and purchase it. To learn more about Amazon Sponsored Products, click here. 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.
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. Would you like to tell us about a lower price?
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Turn on 1-Click ordering. Buy new On clicking this link, a new layer will be open. Only 2 left in stock more on the way. Ships from and sold by Amazon. This item ships to Ukraine. To see addresses, please Sign in. Please enter a valid US zip code. Please add the address to your address book. Make sure you include the unit and box numbers if assigned. See All Buying Options. 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.
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These items are shipped from and sold by different sellers. Buy the selected items together This item: Foreign Exchange Option Pricing: A Practitioner's Guide by Iain J. Customers who bought this item also bought. Page 1 of 1 Start over Page 1 of 1. The Volatility Smile Wiley Finance. Brazilian Derivatives and Securities: Sponsored products related to this item What's this?
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Please try again later. Best FX Book I found so far, but that's not saying much. Lots of explicit equations, clear explanations and implementation detail. However the one thing I've always hated about quant finance literature is they leave so much work up to the reader. This is not a paper limited by length or a college course. Out comes an equation with umpteen terms that reduces drastically under different conditions but the reduction is not shown.
I understand the need to save space and to offer a general formula that is inclusive of all cases but would it have killed Castagna to work out one real world example for say, a Down and Out Call with real world inputs? He could have even put this in an appendix. The excel spreadsheet is a little unclear as to how it gets to its' reduction. Yes one could put in enough effort, but why not just explain it and save the reader the work?
I work in the field and rather than wading through it the unbelievable amount of terms and sub equations in the result equation , multiple colleagues are leaning towards just buying an implementation. Still it's a good read for an overview and unfortunately the best I've found. Was this review helpful to you? My only issue with this book is some of the errors in the wording and graphs could be confusing for someone who is just learning about FX Options.
I would recommend waiting for the second edition where those mistakes are corrected. Overall this book is great and very helpful. The best book on fx options I have ever seen. A lot of hints for implementation. Market practice described in detail. It is full of clear examples that walk This book has the practitioner in mind.
It is full of clear examples that walk you through how a trade would take place in the market, as opposed to a cleaned-up academic setting where everything is taken as given and the emphasis is on theory as opposed to market usage. This book puts less emphasis on theory and shows you how a real trader would approach his work.More...