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Product Description
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. He has extensive experience in FX and derivatives, and was previously Head of Volatility Trading at Banca IMI Milan, where he set up the bank′s FX Option desk.
From the Inside Flap
—Uwe Wystup, Managing Director of MathFinance AG
"If you are really interested in hard science and technology of FX options market making, this is probably the best source from which to learn – most of the books content goes far beyond anything to be found in other monographs on the same subject. Strongly recommended."
—Dariusz Gatarek, National Bank of Poland, Advisor to the Board
"Antonio Castagna formalizes the principles and concepts he has used during his trading activity on the FX market, an important asset class that occasionally does not receive the attention it deserves. 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."
—Damiano Brigo, Managing Director, FitchSolutions, London
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