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Iason acknowledges that financial markets need to be analysed constantly since they change fast. The result is a large number of papers, covering many areas of derivatives pricing and of risk management, and the following books: |
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FX Options and Smile Risk
Antonio Castagna
The FX Options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader.
This book is a unique guide to running an FX Options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner and Iason’s consultant Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures.
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Interest Rate Models – Theory and Practice
Damiano Brigo and Fabio Mercurio
Fabio Mercurio, the director of Iason’s Research Committee, is the co-author of this successful book, which examines the most relevant topics in the interest rate modelling and derivatives pricing, such as calibration discussion of the basic LIBOR market model, analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs; local-volatility dynamics and stochastic volatility models; hybrid products (convertible bonds and inflation-linked derivatives).
The second edition enlarges the discussion to Credit Derivatives. One of the approach to their modelling, the reduced-form modelling framework, shares much of the technique applied to interest-rate modelling, so that its analysis smoothly recombines with the first part of the book.
This book rapidly became a must for those working in the interest rates modelling.
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Modelling Interest Rates
Ed. by Fabio Mercurio
Fabio Mercurio is the editor of this collection of works presenting the latest advances in the interest rate modelling.
The following chapters have been contributed by Iason’s consultants:
No-Arbitrage Dynamics and Formulas for a Tractable SABR
Term-Structure Model
Fabio Mercurio; Massimo Morini
A Note on Hedging with Local and Stochastic Volatility Models
Fabio Mercurio; Massimo Morini
Smile-Consistent CMS Adjustments in Closed Form
Antonio Castagna, Fabio Mercurio and Marco Tarenghi
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