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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.
Ideal for readers interested in reading.
Title: Managing Currency Options in Financial Institutions
Format: Paperback Book
Release Date: 28 Jun 2018
Author: Yat-Fai Lam
Sku: 3373990
Catalogue No: 9781138316935
Category: Accounting & Finance
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