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Managing Currency Options in Financial Institutions

- Vanna-Volga method

Bag om Managing Currency Options in Financial Institutions

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781138778054
  • Indbinding:
  • Hardback
  • Sideantal:
  • 94
  • Udgivet:
  • 28. august 2015
  • Størrelse:
  • 156x234x10 mm.
  • Vægt:
  • 294 g.
  • 8-11 hverdage.
  • 25. november 2024

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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.

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