Antonio Castagna is partner and co-founder of the consulting company Iason Consulting ltd, focussing on the design of models to price complex derivatives and to measure financial, liquidity and credit risks.
He previously was in Banca IMI, Milan, from the 1999 to 2006, where he first worked as a market maker of cap/floor’s and swaptions, and then he set up the FX options market-making desk. He started his carrier in the 1997 at IMI Bank, Luxembourg, in the Risk Control Department.
He wrote papers on different issues, including credit derivatives, managing of exotic options’ risks and volatility smiles. He is also author of the books “FX Options and Smile Risk” and “Measuring and Managing Liquidity Risk” both published by Wiley.