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MANAGING CURRENCY OPTIONS IN FINANCIAL INSTITUTIONS IBD

ROUTLEDGE
08 / 2015
9781138778054
Inglés

Sinopsis

The book introduces how we can manage currency options with the Vanna-Volga method.áIt 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 bookáillustrates with technical detailsátoáshed 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.

PVP
282,20