Managing Currency Options in Financial Institutions: Vanna-Volga method

by Yat-Fai Lam and 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.

• Format: Paperback
• Language: English
• ISBN: 1138316938
• ISBN13: 9781138316935
• Release Date: June 2018
• Publisher: Routledge
• Length: 112 Pages
• Weight: 0.37 lbs.
• Dimensions: 0.2" x 6.1" x 9.2"