FX Options and Smile Risk

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FX Options and Smile Risk by Antonio Castagna

It is not within the scope of this book to extend the analysis to those contracts usually embedded in structured financial products and that consider currencies as an asset class. Such contracts are typically based on baskets of currencies often with averaging Asian features, and they are similar to those structures commonly traded in the equity markets.

In most cases, a strong dependence on the correlation amongst all the involved pairs marks these kinds of options, and a great deal of theory has been developed for their pricing and to a lesser extent, to be frank hedging. 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.

FX Options and Smile Risk

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. The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book. Stay ahead with the world's most comprehensive technology and business learning platform.

FX Volatility Surface: Risk Reversal, Smile Strangle, and Market Strangle

With Safari, you learn the way you learn best. Appearances can be deceptive, especially when managing highly non-linear instruments. Volmaster FX allows traders to simulate the risk position resulting after pricing derivatives, including translational risk into their accounting currency.

Volmaster FX offers all the simulation tools typical of a position keeping system as a complimentary part of the pricer.

Fx options smile risk

Since Volmaster FX client-side software is run locally in a virtual sandbox it is easy to integrate the solution with existing tools and IT infrastructure. The integration platform makes sure that no sensitive information is transmitted outside the institution's firewall and can be configured very simply to achieve syncronization of volatility surfaces and mapping of counterparties and portfolios, among others.

remax.genesis.ca/172.php For organizations bearing advanced requirements, we offer a special Volmaster API that allows to benefit from the use Volmaster's computational technology speed performance, accuracy, pricing and revaluing in advanced models within the existing infrastructure. The feature implements strongly-defined sets of rules based on a number of risk measures and permissioning.


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A rich workflow enhances the responsiveness of market-makers to high-volume environments. Resulting tickets can be re-directed to in-house or third-party systems through Volmaster API. While Volmaster FX covers natively a very wide range of exotics, the FX derivatives market has a high pace of product innovation which can be better covered by introducing even more flexibility in the pricing system.

Therefore, for advanced users, Volmaster FX offers patented internal payoff scripting tools capable of representing and pricing virtually any conceivable FX derivative. The capability to define one's own derivatives and price them in a consistent framework endlessly expands the boundaries of the system.