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Managing Currency Options in Financial Institutions: Vanna-Volga method

Managing Currency Options in Financial Institutions: Vanna-Volga method

Hardcover

Series: Routledge Advances in Risk Management

Investing & Finance

ISBN10: 1138778052
ISBN13: 9781138778054
Publisher: Routledge
Published: Aug 28 2015
Pages: 94
Weight: 0.75
Height: 0.40 Width: 6.20 Depth: 9.30
Language: English
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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Investing & Finance