FX Options and Smile Risk (The Wiley Finance Series)

FX options and smile risk


FX Options and Smile Risk. Description Practical issues in FX options and smile risk FX Options and Smile Risk takes readers through the main technicalities of the FX spot and options markets, helping them develop practical trading skills that will enable them to run an FX options book in the real world.

It describes how to build FX volatility surfaces in robust and consistent ways and how to use them in the pricing of vanilla and exotic options. It enables readers to effectively hedge exposures to volatility surface and other risks related to exotic options. It's highly focused on the practical aspects of the pricing and hedging of the typical risks of an FX options desk and deals with the momentous issues of building consistent volatility matrices and a unified approach to pricing and hedging. Antonio Castagna Milan, Italy is a Consultant at Iason Ltd, providing pricing and risk management expertise for complex products.

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Share your thoughts with other customers. Write a customer review. There was a problem filtering reviews right now. 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.

FX Options and Smile Risk

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?

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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. 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.

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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. One person found this helpful 2 people found this helpful. See all 4 reviews. Customers who viewed this item also viewed. The Volatility Smile Wiley Finance.

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This book is a unique guide to running an FX options book from the market maker perspective. Page 1 of 1 Start over Page 1 of 1. Marcos Lopez de Prado. AmazonGlobal Ship Orders Internationally. Advanced Search Find a Library. Antonio Castagna Milan, Italy is a Consultant at Iason Ltd,providing pricing and risk management expertise for complexproducts. Pricing Models for FX Options.

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