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Managing Currency Options in Financial Institutions : Vanna-Volga Method (Hardcover) (Yat-fai Lam &

Managing Currency Options in Financial Institutions : Vanna-Volga Method (Hardcover) (Yat-fai Lam & - image 1 of 1

About this item

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.

Number of Pages: 94
Genre: Business + Money Management
Series Title: Routledge Advances in Risk Management
Format: Hardcover
Publisher: Taylor & Francis
Author: Yat-fai Lam & Kin-keung Lai
Language: English
Street Date: September 10, 2015
TCIN: 17350245
UPC: 9781138778054
Item Number (DPCI): 247-45-9314
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$114.99
MSRPwas $160.00

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