FX options and smile risk / Antonio Castagna.
Material type:
TextSeries: Wiley finance seriesPublication details: Hoboken, N.J. : Wiley ; Chichester : John Wiley [distributor], 2009.Description: xv, 304 p. ; 25 cm. + 1 CD-ROMISBN: - 9780470754191 (hbk.)
- 0470754192 (hbk.)
- 332.4'5 22
- HG3853 .C37 2009
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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.
oif 15/06/15
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