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049 INap
082 04 332.45
082 04 332.45
099 eBook O’Reilly for Public Libraries
100 1 Castagna, Antonio.
245 10 FX options and smile risk /|cAntonio Castagna.|h[O'Reilly
electronic resource]
246 3 Foreign exchange options and smile risk
260 Chichester, U.K. ;|a[Hoboken, N.J.] :|bJ. Wiley & Sons,
|c2010.
300 1 online resource (1 volume) :|billustrations
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
490 1 The Wiley finance series ;|vv.537
504 Includes bibliographical references and index.
505 0 Cover13; -- Contents -- Preface -- Notation and Acronyms -
- 1 The FX Market -- 1.1 FX rates and spot contracts --
1.2 Outright and FX swap contracts -- 1.3 FX option
contracts -- 1.3.1 Exercise -- 1.3.2 Expiry date and
settlement date -- 1.3.3 Premium -- 1.3.4 Market standard
practices for quoting options -- 1.4 Main traded FX option
structures -- 2 Pricing Models for FX Options -- 2.1
Principles of option pricing theory -- 2.1.1 The
Black8211;Scholes economy -- 2.1.2 Stochastic volatility
economy -- 2.1.3 Change of numeraire -- 2.2 The black-
scholes model -- 2.2.1 The forward price to use in the
formula -- 2.2.2 BS greeks -- 2.2.3 Retrieving implied
volatility and strike -- 2.2.4 Some relationships of the
BS formula -- 2.3 The Heston Model -- 2.3.1 Time-dependent
parameters in the Heston model -- 2.4 The SABR model --
2.5 The mixture approach -- 2.5.1 The LMLV model -- 2.5.2
The LMUV model -- 2.5.3 Features of the LMLV and LMUV
models and a comparison between them -- 2.5.4 Extension of
the LMUV model -- 2.6 Some considerations about the choice
of model -- 3 Dynamic Hedging and Volatility Trading --
3.1 Preliminary considerations -- 3.2 A general framework
-- 3.3 Hedging with a constant implied volatility -- 3.4
Hedging with an updating implied volatility -- 3.4.1 A
market model for the implied volatility -- 3.5 Hedging
Vega -- 3.6 Hedging Delta, Vega, Vanna and Volga -- 3.6.1
Vanna8211;Volga hedging with one implied volatility --
3.6.2 Vanna8211;Volga hedging with different implied
volatilities -- 3.7 The volatility smile and its
phenomenology -- 3.8 Local exposures to the volatility
smile -- 3.8.1 Retrieving the strikes of the main
structures -- 3.8.2 ATM straddle exposures -- 3.8.3 Risk
reversal exposures -- 3.8.4 Vega-weighted butterfly
exposures -- Scenario hedging and its relationship with
Vanna8212;Volga hedging -- 3.9.1 Scenario hedging with
constant Delta options -- 4 The Volatility Surface -- 4.1
General definitions -- 4.1.1 Arbitrage opportunities under
the three different rules -- 4.2 Criteria for an efficient
and convenient representation of the volatility surface --
4.3 Commonly adopted approaches to building a volatility
surface -- 4.4 Smile interpolation among strikes: the
Vanna8211;Volga approach -- 4.4.1 The Vanna8211;Volga
approach: general setting -- 4.4.2 Computing the
Vanna8211;Volga weights and option prices -- 4.4.3 Limit
and no-arbitrage conditions -- 4.4.4 Approximating implied
volatilities -- 4.5 Some features of the Vanna8211;Volga
approach -- 4.5.1 Hedging error for longer expiries --
4.5.2 The implied risk-neutral density and smile
asymptotics -- 4.5.3 Two consistency results -- 4.6 An
alternative characterization of the Vanna8211;Volga
approach -- 4.7 Smile interpolation among expiries:
implied volatility term structure -- 4.8 Admissible
volatility surfaces -- 4.9 Taking into account the market
butterfly.
520 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.
588 0 Print version record.
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
650 0 Foreign exchange options.
650 0 Risk management.
650 2 Risk Management
650 6 Option de change.
650 6 Gestion du risque.
650 7 risk management.|2aat
650 7 Foreign exchange options|2fast
650 7 Risk management|2fast
655 4 Electronic resource.
776 08 |iPrint version:|aCastagna, Antonio.|tFX options and smile
risk.|dHoboken, N.J. : Wiley, 2010|z9780470754191|w(DLC)
2009036554|w(OCoLC)310400118
830 4 The Wiley finance series.
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
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