LEADER 00000cam a2200853 a 4500 001 852406591 003 OCoLC 005 20240129213017.0 006 m o d 007 cr unu|||||||| 008 130710s2010 enka ob 001 0 eng d 019 746578355|a781336046|a864890683|a990759432|a1120857125 020 9781119207085|q(electronic bk.) 020 1119207088|q(electronic bk.) 020 9780470684931 020 0470684933 020 1282888870|q(e-book) 020 9781282888876 020 9786612888878|q(e-book) 020 6612888873 020 0470687185|q(e-book) 020 9780470687185 028 01 EB00061611|bRecorded Books 029 1 AU@|b000048810607 029 1 AU@|b000052007611 029 1 CHNEW|b000942124 029 1 CHVBK|b480224056 029 1 DEBBG|bBV041431483 029 1 DEBBG|bBV041908322 029 1 DEBBG|bBV043396076 029 1 DEBSZ|b398273367 029 1 DEBSZ|b485039850 035 (OCoLC)852406591|z(OCoLC)746578355|z(OCoLC)781336046 |z(OCoLC)864890683|z(OCoLC)990759432|z(OCoLC)1120857125 037 CL0500000230|bSafari Books Online 040 UMI|beng|epn|cUMI|dIDEBK|dDEBSZ|dAU@|dYDXCP|dUKDOC|dRECBK |dOCLCF|dDEBBG|dDG1|dOCLCQ|dOCL|dOCLCQ|dDG1|dLIP|dOCLCQ |dCEF|dU3W|dOCLCQ|dUAB|dSTF|dOCLCQ|dUKAHL|dOCLCO|dOCLCQ |dOCLCO|dOCLCQ 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:// learning.oreilly.com/library/view/~/9780470684931/?ar |zAvailable on O’Reilly for Public Libraries 938 Askews and Holts Library Services|bASKH|nAH13350826 938 123Library|b123L|n23040 938 ProQuest MyiLibrary Digital eBook Collection|bIDEB|n288887 938 Recorded Books, LLC|bRECE|nrbeEB00061611 938 YBP Library Services|bYANK|n3589060 938 YBP Library Services|bYANK|n12647785 938 YBP Library Services|bYANK|n12667406 994 92|bJFN