FX Options and Smile RiskISBN: 978-0-470-75419-1
Hardcover
320 pages
January 2010
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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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.
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.