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Laddas ned direkt. Skickas inom vardagar. 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.
Vanna-volga methods applied to FX derivatives. From theory to market practice, Working Paper.
FX Options and Smile Risk by Antonio Castagna (Hardback, 2009)
Brigo, D. Carr, P. Castagna, A. The vanna-volga method for implied volatilities, Risk, January, — Cox, J. A Theory of the term structure of interest rates, Econometrica — Derman, E. The ins and outs of barrier options: Part 1, Derivatives Quaterly, Winter , 55— Garman, M. Hakala, J. Heston, S. A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies, 6: — It is a valuable collection of key ideas concerning the FX smile surface and hedging of first generation exotics.
I am very please Antonio took time to share his intuitive insights. About the Author Antonio Castagna is currently partner and co-founder of the consulting company Iason ltd, providing support to financial institutions for the design of models to price complex derivatives and to measure a wide range of risks, including credit and liquidity.
Antonio has written a number of papers on credit derivatives, managing of exotic options risks and volatility smiles. He is often invited to academic and post-graduate courses.
Biblioteca Univ. Surcolombiana catalog › Details for: FX options and smile risk
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Best FX Book I found so far, but that's not saying much. Lots of explicit equations, clear explanations and implementation detail. However the one thing I've always hated about quant finance literature is they leave so much work up to the reader. This is not a paper limited by length or a college course.