Managing Currency Options in Financial Institutions: Vanna-Volga method

by Kin Keung Lai, Yat-Fai Lam, Kin-Keung Lai

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...

• Format: Hardcover
• Language: English
• ISBN: 1138778052
• ISBN13: 9781138778054
• Release Date: August 2015
• Publisher: Routledge
• Length: 94 Pages
• Weight: 0.75 lbs.
• Dimensions: 0.4" x 6.2" x 9.3"