This book takes readers through the main technicalities of the FX spot and options markets, building practical trading skills that will enable them to actually run an FX options book in the real world. It will analyze how to build FXvolatility surfaces in robust and consistent ways and how to use them in the pricing of plain vanilla and exotic options, by means both of practitioners' rules of thumb and of models encapsulating stochastic volatility. The book willalso enable readers to effectively hedge exposures to volatility surface and other risks related to exotic options. Appendices with VBA code will be included. This book will be highly focused on practical aspects related to the pricing and the hedging of the typical risks of a FX option desk. Most of books written in the past mainly concern the pricing issues (possibly in a stochastic volatility environment), but none really deal with practical, though momentous,issues such as the building of a consistent volatility matrix, and a unified approach to pricing and hedging. The extensive treatment of those areas will be the distinguishing feature of the book.
- ISBN: 978-0-470-75419-1
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 320
- Fecha Publicación: 04/12/2009
- Nº Volúmenes: 1
- Idioma: Inglés