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Managing Currency Options in Financial Institutions - Vanna-Volga method (Electronic book text)
Managing Currency Options in Financial Institutions - Vanna-Volga method (Electronic book text): Kin Keung Lai, Yat Fai Lam

Managing Currency Options in Financial Institutions - Vanna-Volga method (Electronic book text)

Kin Keung Lai, Yat Fai Lam

Series: Routledge Advances in Risk Management

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The book introduces how we can manage currency options with the Vanna-Volga method. It describes the underlying theories and applications of the Vanna-Volga method in managing currency options of a financial institution, conforming to the Basel III regulatory requirements which demand a high consistency between the valuation and market risk calculation methodologies of financial instruments. The book illustrates with technical details to shed understanding on the major applications, including valuation, volatility recovery, dynamic portfolio replication and value-at-risk. Those who study finance, risk management, quantitative finance or similar areas, as well as practitioners who wish to learn how to valuate, hedge and manage the market risk of currency options with more advanced models and techniques will find the book of invaluable use.

General

Imprint: Routledge
Country of origin: United Kingdom
Series: Routledge Advances in Risk Management
Release date: September 2017
First published: 2016
Authors: Kin Keung Lai • Yat Fai Lam
Format: Electronic book text
Pages: 94
ISBN-13: 978-1-317-38726-8
Categories: Books > Business & Economics > Finance & accounting
Books > Business & Economics > Finance & accounting > Finance
Books > Business & Economics > Finance & accounting > Finance > Banking
Books > Business & Economics > Finance & accounting > Finance > Credit & credit institutions
Books > Business & Economics > Finance & accounting > Finance > Investment & securities
Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General
Books > Money & Finance > Banking
Books > Money & Finance > Credit & credit institutions
Books > Money & Finance > Investment & securities
Books > Money & Finance > Investment & securities > General
Books > Business & Economics > Promotions
LSN: 1-317-38726-0
Barcode: 9781317387268

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