Managing currency options in financial institutions: vanna-volga method
Auteur :
Lam, Yat-Fai / Lai, Kin-Keung
Éditeur :
Taylor & Francis Ltd
ISBN :
9781138778054
Date de publication :
28 août 2015
Dimensions :
23,4 x 15,6 cm
Poids :
294 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.