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Managing Currency Options in Financial Institutions

- Vanna-Volga method

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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  • Språk:
  • Engelska
  • ISBN:
  • 9781138316935
  • Format:
  • Häftad
  • Sidor:
  • 112
  • Utgiven:
  • 28. juni 2018
  • Mått:
  • 156x234x0 mm.
  • Vikt:
  • 174 g.
  Fri leverans
Leveranstid: 2-4 veckor
Förväntad leverans: 26. november 2024

Beskrivning av 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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