FX options and smile risk /
Castagna, Antonio.
FX options and smile risk / Antonio Castagna. - Hoboken, N.J. : Chichester : Wiley ; John Wiley [distributor], 2009. - xv, 304 p. ; 25 cm. + 1 CD-ROM. - Wiley finance series .
Includes bibliographical references and index.
This book is a unique guide to running an FX options book from a 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.
9780470754191 (hbk.) 0470754192 (hbk.)
2009036554
Foreign exchange options.
Risk management.
HG3853 / .C37 2009
332.4'5
FX options and smile risk / Antonio Castagna. - Hoboken, N.J. : Chichester : Wiley ; John Wiley [distributor], 2009. - xv, 304 p. ; 25 cm. + 1 CD-ROM. - Wiley finance series .
Includes bibliographical references and index.
This book is a unique guide to running an FX options book from a 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.
9780470754191 (hbk.) 0470754192 (hbk.)
2009036554
Foreign exchange options.
Risk management.
HG3853 / .C37 2009
332.4'5