Utvidet returrett til 31. januar 2024

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:
  • Engelsk
  • ISBN:
  • 9781138316935
  • Bindende:
  • Paperback
  • Sider:
  • 112
  • Utgitt:
  • 28. juni 2018
  • Dimensjoner:
  • 156x234x0 mm.
  • Vekt:
  • 174 g.
  • BLACK NOVEMBER
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 27. november 2024

Beskrivelse 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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