Enter your mobile number below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
Getting the download link through email is temporarily not available. Please check back later.

  • Apple
  • Android
  • Windows Phone
  • Android

To get the free app, enter your mobile phone number.

FX Options and Smile Risk 1st Edition

4.0 out of 5 stars 4 customer reviews
ISBN-13: 978-0470754191
ISBN-10: 0470754192
Why is ISBN important?
ISBN
This bar-code number lets you verify that you're getting exactly the right version or edition of a book. The 13-digit and 10-digit formats both work.
Scan an ISBN with your phone
Use the Amazon App to scan ISBNs and compare prices.
Trade in your item
Get a $4.26
Gift Card.
Have one to sell? Sell on Amazon
Buy used On clicking this link, a new layer will be open
$61.28 On clicking this link, a new layer will be open
Buy new On clicking this link, a new layer will be open
$85.61 On clicking this link, a new layer will be open
More Buying Choices
24 New from $72.31 22 Used from $61.28
Free Two-Day Shipping for College Students with Prime Student Free%20Two-Day%20Shipping%20for%20College%20Students%20with%20Amazon%20Student


Security
ITPro.TV Video Training
Take advantage of IT courses online anywhere, anytime with ITPro.TV. Learn more.
$85.61 FREE Shipping. Only 5 left in stock (more on the way). Ships from and sold by Amazon.com. Gift-wrap available.
click to open popover

Frequently Bought Together

  • FX Options and Smile Risk
  • +
  • Foreign Exchange Option Pricing: A Practitioner's Guide
Total price: $166.22
Buy the selected items together

Editorial Reviews

From the Inside Flap

"The next generation FX Options book has arrived: Antonio Castagna has written up many years of his practical experience at the trading floor of Banca IMI. 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."
Uwe Wystup, Managing Director of MathFinance AG

"If you are really interested in hard science and technology of FX options market making, this is probably the best source from which to learn – most of the books content goes far beyond anything to be found in other monographs on the same subject. Strongly recommended."
Dariusz Gatarek, National Bank of Poland, Advisor to the Board

"Antonio Castagna formalizes the principles and concepts he has used during his trading activity on the FX market, an important asset class that occasionally does not receive the attention it deserves. Attention is given to a wide range of topics, ranging a wide spectrum between theory and practice, from market quoting conventions to volatility surfaces, change of measure techniques, dynamic arbitrage-free models, hedging and risk analysis. Among the several techniques presented to deal with volatility smile consistent pricing, I am glad room has been given to the mixture dynamics, one of the few tractable approaches where the Markovian projection is explicit and realized in the mixture diffusion and the uncertain volatility models, with striking results in the correlation between volatility and underlying in the projected diffusion version. Overall this is an interesting and eclectic book for readers interested in learning or expanding their knowledge of the FX volatility market."
Damiano Brigo, Managing Director, FitchSolutions, London

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 graduated in Finance from LUISS University, Rome, in 1995 with a thesis on American options and the numerical procedures for their valuation. He began his career in investment banking in IMI Bank, Luxemborug, as a financial analyst in the Risk Control Department before moving to Banca IMI, Milan, first as a market maker of cap/floors and swaptions, before setting up the FX options desk and running the book of plain vanilla and exotic options on the major currencies, whilst also being responsible for the entire FX volatility trading.
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.
NO_CONTENT_IN_FEATURE

New York Times best sellers
Browse the New York Times best sellers in popular categories like Fiction, Nonfiction, Picture Books and more. See more

Product Details

  • Hardcover: 320 pages
  • Publisher: Wiley; 1 edition (January 19, 2010)
  • Language: English
  • ISBN-10: 0470754192
  • ISBN-13: 978-0470754191
  • Product Dimensions: 7 x 0.9 x 9.9 inches
  • Shipping Weight: 1.6 pounds (View shipping rates and policies)
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (4 customer reviews)
  • Amazon Best Sellers Rank: #1,556,007 in Books (See Top 100 in Books)

Customer Reviews

Top Customer Reviews

Format: Hardcover Verified Purchase
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.

For instance : Chapter 6 gives Black Scholes PDE w/ boundary conditions solution that apply to simple barriers. Out comes an equation with umpteen terms that reduces drastically under different conditions (but the reduction is not shown). I understand the need to save space and to offer a general formula that is inclusive of all cases but would it have killed Castagna to work out one real world example for say, a Down and Out Call with real world inputs ? He could have even put this in an appendix. The excel spreadsheet is a little unclear as to how it gets to its' reduction. Yes one could put in enough effort, but why not just explain it and save the reader the work?

I work in the field and rather than wading through it (the unbelievable amount of terms and sub equations in the result equation), multiple colleagues are leaning towards just buying an implementation.

The spreadsheets which implement the equations do not match Bloomberg,FINCAD/SuperD within any acceptable margin either which is deeply disappointing since they should at least be in the same range.

Still it's a good read for an overview and unfortunately the best I've found.
Comment 7 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover
This book has the practitioner in mind. Highly recommended. It is full of clear examples that walk you through how a trade would take place in the market, as opposed to a cleaned-up academic setting where everything is taken as given and the emphasis is on theory as opposed to market usage. This book puts less emphasis on theory and shows you how a real trader would approach his work.
Comment One person found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover Verified Purchase
My only issue with this book is some of the errors in the wording and graphs could be confusing for someone who is just learning about FX Options. I would recommend waiting for the second edition where those mistakes are corrected. Overall this book is great and very helpful.
Comment 2 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover Verified Purchase
The best book on fx options I have ever seen. A lot of hints for implementation. Market practice described in detail.
Comment 2 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse

Set up an Amazon Giveaway

FX Options and Smile Risk
Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. Learn more about Amazon Giveaway
This item: FX Options and Smile Risk