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Managing currency options in financial institutions : Vanna-Volga method /

Bibliographic Details
Main Author: Lam, Yat-Fai
Other Authors: Lai, Kin Keung
Format: Book
Language:English
Published: London ; New York : Routledge, 2015.
Series:Routledge advances in risk management.
Subjects:
Options (Finance)
Foreign exchange futures.
Currency swaps.
Bank investments.
Financial risk management.
Table of Contents:
  • Introduction
  • Development of theories on currency option management
  • Volatility recovery
  • Value-at-risk calculation
  • Dynamic portfolio replication
  • Conclusions.