FX options and smile risk
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. Strik...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
West Sussex, England :
Wiley
2010.
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| Edición: | 1st edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628136206719 |
| Sumario: | 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 th |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (322 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781119207085 9780470684931 9781282888876 9786612888878 9780470687185 |
