Description
FX options is the most technically demanding segment of the foreign exchange market. This is a working reference for the people who trade it, price it and carry the risk.
788 pages. 144 figures. Six parts.
FOUNDATIONS. Option mechanics and market conventions. Black-Scholes and its Garman-Kohlhagen extension for two interest rates. Forward pricing, discounting and settlement.
VOLATILITY TRADING. The Greeks as working tools rather than partial derivatives. Volatility surface construction and dynamics: smile, skew, risk reversals, butterflies, term structure.
EXOTIC OPTIONS. Barriers, digitals, Asians, baskets, lookbacks and variance swaps. Pricing, hedging behaviour near barriers, and the discontinuities that make these instruments hard to risk-manage.
STRUCTURED PRODUCTS. Zero-cost collars, participating forwards, accumulators and target redemption structures. How they are assembled, and where the embedded risk sits.
MARKET MICROSTRUCTURE. Request-for-quote mechanics, liquidity provision, spread formation and behaviour under stress.
INSTITUTIONAL APPLICATIONS. Risk limits and their calibration. Capital treatment under FRTB. Hedge accounting. Desk structure and mandate design.
Worked examples throughout, with the arithmetic shown. Conventions stated explicitly and dated where they have changed. Coverage reflects current practice: ISDA definitions, FRTB, IFRS 9.
For FX options traders, quantitative analysts, risk managers, treasury professionals and structurers. Familiarity with FX spot and forwards is assumed and covered in Book 1. Prior derivatives experience is not required.
Book 2 of the Foreign Exchange Markets Professional Series. Foreword by David Axtell.
Luigi Pascal Rondanini has spent 38 years in foreign exchange markets.
Educational material. Not investment advice.
Details
Publisher - Rondanini Publishing Ltd
Language - English
Perfect Bound
Contributors
By author
Luigi Pascal Rondanini
Published Date - 2026-09-15
ISBN - 9781918177213
Dimensions - 25.4 x 17.8 x 5.4 cm
Page Count - 788
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