FX Options and Smile Risk PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download FX Options and Smile Risk PDF full book. Access full book title FX Options and Smile Risk by Antonio Castagna. Download full books in PDF and EPUB format.
Author: Antonio Castagna
Publisher: John Wiley & Sons
ISBN: 0470684933
Category : Business & Economics
Languages : en
Pages : 324
Get Book Here
Book Description
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: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options’ book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.
Author: Antonio Castagna
Publisher: John Wiley & Sons
ISBN: 0470684933
Category : Business & Economics
Languages : en
Pages : 324
Get Book Here
Book Description
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: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options’ book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.
Author: Uwe Wystup
Publisher: John Wiley & Sons
ISBN: 111847113X
Category : Business & Economics
Languages : en
Pages : 649
Get Book Here
Book Description
Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.
Author: Ian Failes
Publisher: CRC Press
ISBN: 1317540921
Category : Art
Languages : en
Pages : 327
Get Book Here
Book Description
It would be rare these days to find a film that did not in some way depend on the magic of visual effects, from the raging computer-generated dinosaurs in Steven Spielberg's Jurassic Park, to the fantastical worlds of Tim Burton's Alice in Wonderland, and the photoreal tiger and ocean in Ang Lee's Life of Pi. Through interviews with 16 of the leading effects pioneers from around the world (see list below), author Ian Failes explores the making of some of the most memorable film sequences ever produced, showcasing the shift from practical to digital magic with original behind-the-scenes imagery, shot breakdowns, and detailed explanations of some of the secrets behind the making of cinema's most extraordinary creations. Visual effects artists and films discussed include: Dennis Muren (Star Wars: Episodes IV–VI; Terminator 2: Judgment Day; Jurassic Park; A.I. Artificial Intelligence; War of the Worlds) Bill Westenhofer (Babe: Pig in the City; Cats & Dogs; The Lion, the Witch and the Wardrobe; The Golden Compass; Life of Pi) Joe Letteri (The Lord of the Rings trilogy; King Kong; Avatar; Planet of the Apes; The Hobbit trilogy) Rob Legato (Apollo 13; Titanic; The Aviator; Hugo) Paul Franklin (Pitch Black; Christopher Nolan’s The Dark Knight trilogy; Inception; Interstellar) Richard Edlund (Star Wars: Episodes IV–VI; Raiders of the Lost Ark; Ghostbusters; Multiplicity); Edson Williams (X-Men: The Last Stand; The Curious Case of Benjamin Button; The Social Network; Captain America films) Karen Goulekas (Godzilla; The Day After Tomorrow; 10,000 BC; Green Lantern); Chris Corbould (Golden Eye; Die Another Day; Christopher Nolan’s The Dark Knight trilogy; Inception); Ian Hunter (The X-Files; The Dark Knight; The Dark Knight Rises; Inception; Interstellar) John Rosengrant (Terminator films; Jurassic Park; Iron Man films; Real Steel)
Author: Alex Case
Publisher: CRC Press
ISBN: 113612358X
Category : Technology & Engineering
Languages : en
Pages : 432
Get Book Here
Book Description
FX introduces today's up and coming musician to the fantastic creative potential of the most popular instrument today- the home studio. Explaining the basic and advanced signal processing techniques used in professional music production (EQ, compression, delay, reverb etc), using real world popular music examples and an emphasis on the perceptual results and musical value of these effects, FX teaches the Recording Musician how to achieve professional production standards and maximise their creative potential. The accompanying website www.soundfx-companion.com includes audio exaples of FX featured in the book. Features: A chapter dedicated to each key effect: Distortion Equalization Compression and Limiting Delay Expansion and Gating Pitch Shift Reverb Volume More than 100 line drawings and illustrations. Accompanying website featuring examples of all FX covered in the book. Discography of FX at the end of each relevant chapter. From the Sound FX Intro: The most important music of our time is recorded music. The recording studio is its principle musical instrument. The recording engineers and music producers who create the music we love know how to use signal processing equipment to capture the work of artists, preserving realism or altering things wildly, as appropriate. While the talented, persistent, self-taught engineer can create sound recordings of artistic merit, more productive use of the studio is achieved through study, experience and collaboration. This book defines the technical basis of the most important signal processing effects used in the modern recording studio, highlights the key drivers of sound quality associated with each, shares common production techniques used by recording engineers with significant experience in the field, references many of the touchstone recordings of our time, and equips the reader with the knowledge needed to comfortably use effects devices correctly, and, more importantly, to apply these tools creatively.
Author: Iain J. Clark
Publisher: John Wiley & Sons
ISBN: 0470683686
Category : Business & Economics
Languages : en
Pages : 308
Get Book Here
Book Description
This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Author: Wayne McDonell
Publisher: John Wiley & Sons
ISBN: 0470443332
Category : Business & Economics
Languages : en
Pages : 260
Get Book Here
Book Description
A straightforward guide to trading today's dynamic Forex market Written by Wayne McDonell, the Chief Currency Coach at FX Bootcamp, this book shows readers how to successfully trade the Forex market on their own. FX Bootcamp's Guide to Strategic and Tactical Forex Trading skillfully explains how to combine popular technical indicators to formulate a comprehensive market strategy. Readers will then learn how to focus on using this information to create a tactical trading plan--one that will help them pull the trigger to get in and out of a trade. Along the way, McDonell takes the time to discuss the various challenges a Forex trader faces, such as greed, fear, loss, and isolation. As a Forex trader and educator of traders, Wayne McDonell knows what it takes to make it in the competitive world of Forex. And with FX Bootcamp's Guide to Strategic and Tactical Forex Trading he shows readers how.
Author: Tim Weithers
Publisher: John Wiley & Sons
ISBN: 1118046218
Category : Business & Economics
Languages : en
Pages : 290
Get Book Here
Book Description
Praise for Foreign Exchange "Tim Weithers starts by telling the reader that foreign exchange is not difficult, just confusing, but Foreign Exchange: A Practical Guide to the FX Markets proves that money is much more exciting than anything it buys. This useful book is a whirlwind tour of the world's largest market, and the tour guide is an expert storyteller, inserting numerous fascinating insights and quirky facts throughout the book." -John R. Taylor, Chairman, CEO and CIO, FX Concepts "The book reflects the author's doctorate from the University of Chicago, several years' experience as an economics professor, and, most recently, a very successful decade as an executive at a huge international bank. These fundamental ingredients are seasoned with bits of wisdom and experience. What results is a very tasty intellectual stew." -Professor Jack Clark Francis, PhD, Professor of Economics and Finance, Bernard Baruch College "In this book, Tim Weithers clearly explains a very complicated subject. Foreign Exchange is full of jargon and conventions that make it very hard for non-professionals to gain a good understanding. Weither's book is a must for any student or professional who wants to learn the secrets of FX." -Niels O. Nygaard, Director of Financial Mathematics, The University of Chicago "An excellent text for students and practitioners who want to become acquainted with the arcane world of the foreign exchange market." -David DeRosa, PhD, founder, DeRosa Research and Trading, Inc., and Adjunct Professor of Finance, Yale School of Management "Tim Weithers provides a superb introduction to the arcana of foreign exchange markets. While primarily intended for practitioners, the book would be a valuable introduction for students with some knowledge of economics. The text is exceptionally clear with numeric examples and exercises that reinforce concepts. Frequent references are made to the economic theory behind the trading practices." -John F. O'Connell, Professor of Economics, College of the Holy Cross
Author: Ms.Li L. Ong
Publisher: International Monetary Fund
ISBN: 145196353X
Category : Business & Economics
Languages : en
Pages : 47
Get Book Here
Book Description
The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008, giving rise to concerns over the ability of banks to roll over their funding requirements and manage their liquidity risk. The turmoil also raised questions about banks' ability to continue their supply of credit to the local economy, as well as the external financing gap it could create. In this paper, we examine the channels through which FX swap transactions could affect a country's financial and economic stability, and highlight the strategies central banks can employ to mitigate market pressures. While not offering any judgment on the instrument itself, we show that the use of FX swaps for funding and hedging purposes is not infallible, especially during periods of market stress.
Author: James Chen
Publisher: John Wiley & Sons
ISBN: 0470464003
Category : Business & Economics
Languages : en
Pages : 202
Get Book Here
Book Description
This currency trading book provides readers with real, practical information on how to trade the foreign exchange market effectively. It begins by covering introductory information on the forex market, including basic trading mechanics and the benefits of forex trading, and then goes on to describe specific currency trading methods and skills in step-by-step detail. This includes highly practical information on technical and fundamental analysis, risk and money management, and powerful forex trading strategies. These strategies have proven extremely effective in helping traders play the forex game to win. JAMES CHEN, CTA, CMT (Montville, NJ) is Chief Technical Strategist at FX Solutions, a leading foreign exchange broker. An expert on forex trading and technical analysis, he is also a registered Commodity Trading Advisor (CTA) and a Chartered Market Technician (CMT). Mr. Chen writes daily currency analysis, leads forex trading seminars, and has authored numerous articles on currency trading strategy and technical analysis for major financial publications. These include Forbes.com, Futures Magazine, Technical Analysis of Stocks and Commodities Magazine, and Stocks, Futures and Options (SFO) Magazine.
Author: Adam S. Iqbal
Publisher: Springer Nature
ISBN: 3030935558
Category : Business & Economics
Languages : en
Pages : 246
Get Book Here
Book Description
One of the great challenges that many participants in foreign exchange (FX) markets face is sifting through the often overwhelming amount of information that is available. Media outlets stream updates on international politics, economics, and other factors that move FX prices twenty-four hours a day. It is difficult to work out what is and what is not important. This book helps its reader overcome these challenges by combining the insights gained from a market practitioner who has traded FX at Goldman Sachs, PIMCO, and Barclays Investment Bank, with textbook-level modern financial macroeconomic theory. The book covers macroeconomics relating to exchange rate determination. While you could obtain this information from a disparate set of sources―textbooks, academic literature, industry research notes, conversations with other market practitioners, and theories cited in media reports―this book brings all of these sources together to translate the information into concrete FX views that are firmly rooted in the macroeconomic theory of risk premiums, interest rates, and inflation, among other topics. The book promotes time consistent thought that avoids the daily temptation to jump from that day’s economic narrative to the next. Of particular interest to buy- and sell-side industry practitioners, finance and economics graduate students, academics, and others interested in FX markets, this book teaches its readers how to do this and improve their own trading and understanding of the FX markets.
