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Managing Currency Options in Financial Institutions
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Managing Currency Options in Financial Institutions : Vanna-Volga method

by Kin-Keung Lai , Yat-Fai Lam

Book Details

Format Paperback / Softback
Book Series Routledge Advances in Risk Management
ISBN-10 1138316938
ISBN-13 9781138316935
Publisher Taylor & Francis Ltd
Imprint Routledge
Country of Manufacture GB
Country of Publication GB
Publication Date Jun 28th, 2018
Print length 112 Pages
Weight 272 grams
Product Classification: BankingCredit & credit institutionsInvestment & securities
Ksh 8,450.00
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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 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.

Get Managing Currency Options in Financial Institutions by at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Taylor & Francis Ltd and it has pages.

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