FX options and smile risk:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Chichester, U.K.
J. Wiley & Sons
2010
|
| Schriftenreihe: | Wiley finance
|
| Schlagworte: | |
| Online-Zugang: | FRO01 UBG01 Volltext |
| Beschreibung: | Includes bibliographical references and index 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 |
| Beschreibung: | 1 Online-Ressource (1 volume) |
| ISBN: | 9781119207085 1119207088 9780470684931 0470684933 9780470754191 0470754192 |
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| 246 | 1 | 3 | |a Foreign exchange options and smile risk |
| 264 | 1 | |a Chichester, U.K. |b J. Wiley & Sons |c 2010 | |
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| 500 | |a Includes bibliographical references and index | ||
| 500 | |a 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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Datensatz im Suchindex
| _version_ | 1804175976574222336 |
|---|---|
| any_adam_object | |
| author | Castagna, Antonio |
| author_facet | Castagna, Antonio |
| author_role | aut |
| author_sort | Castagna, Antonio |
| author_variant | a c ac |
| building | Verbundindex |
| bvnumber | BV043396076 |
| collection | ZDB-35-WIC |
| ctrlnum | (ZDB-35-WIC)ocn852406591 (OCoLC)852406591 (DE-599)BVBBV043396076 |
| dewey-full | 332.45 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.45 |
| dewey-search | 332.45 |
| dewey-sort | 3332.45 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043396076 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:24:51Z |
| institution | BVB |
| isbn | 9781119207085 1119207088 9780470684931 0470684933 9780470754191 0470754192 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028814660 |
| oclc_num | 852406591 |
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| physical | 1 Online-Ressource (1 volume) |
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| publisher | J. Wiley & Sons |
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| spelling | Castagna, Antonio Verfasser aut FX options and smile risk Antonio Castagna Foreign exchange options and smile risk Chichester, U.K. J. Wiley & Sons 2010 1 Online-Ressource (1 volume) txt rdacontent c rdamedia cr rdacarrier Wiley finance Includes bibliographical references and index 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 Electronic resource Foreign exchange options Risk management BUSINESS & ECONOMICS / Finance bisacsh Business fast Wirtschaft Optionshandel (DE-588)4126185-9 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Optionshandel (DE-588)4126185-9 s Optionspreistheorie (DE-588)4135346-8 s 1\p DE-604 https://onlinelibrary.wiley.com/doi/book/10.1002/9781119207085 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Castagna, Antonio FX options and smile risk Electronic resource Foreign exchange options Risk management BUSINESS & ECONOMICS / Finance bisacsh Business fast Wirtschaft Optionshandel (DE-588)4126185-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4126185-9 (DE-588)4135346-8 |
| title | FX options and smile risk |
| title_alt | Foreign exchange options and smile risk |
| title_auth | FX options and smile risk |
| title_exact_search | FX options and smile risk |
| title_full | FX options and smile risk Antonio Castagna |
| title_fullStr | FX options and smile risk Antonio Castagna |
| title_full_unstemmed | FX options and smile risk Antonio Castagna |
| title_short | FX options and smile risk |
| title_sort | fx options and smile risk |
| topic | Electronic resource Foreign exchange options Risk management BUSINESS & ECONOMICS / Finance bisacsh Business fast Wirtschaft Optionshandel (DE-588)4126185-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Electronic resource Foreign exchange options Risk management BUSINESS & ECONOMICS / Finance Business Wirtschaft Optionshandel Optionspreistheorie |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781119207085 |
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