Description
Managing Currency Options in Financial Institutions
Vanna-Volga method
Routledge Advances in Risk Management Series
Authors: Lam Yat-Fai, Lai Kin-Keung
Language: EnglishSubject for Managing Currency Options in Financial Institutions:
Keywords
Derivatives; Currency options; Valuation; Vanna-Volga method; Financial institutions; Financial instruments; Market risk measurement; Financial engineering; Volatility recovery; Value-at-risk calculation; Dynamic portfolio replication; EWMA Model; Black Scholes Volatility; Volatility Smile; Hedging Ratios; Atm Volatility; Black Scholes Framework; Consecutive Trading Days; Basel Ii Framework; International Foreign Exchange Market; Self-finance Trading Strategy; VaR Methodology; Quadratic Approximation; Managing Current Options; Option Valuation Model; Financial Information Providers; Previous Trading Day; Black Scholes Formulas; Black Scholes Values; Risk Free Rate; Atm Option; Portfolio Replication; OTC Derivative; Simple Geometric Brownian Motion; Initial Model Assumption
Approximative price 188.53 €
In Print (Delivery period: 14 days).
Add to cart the book of Lam Yat-Fai, Lai Kin-KeungPublication date: 08-2015
· 15.6x23.4 cm · Hardback
Approximative price 73.30 €
In Print (Delivery period: 14 days).
Add to cart the book of Lam Yat-Fai, Lai Kin-KeungPublication date: 06-2018
· 15.6x23.4 cm · Paperback
Description
/li>Contents
/li>Readership
/li>Biography
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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.
The book illustrates with technical details to shed understanding on the major applications, including valuation, volatility recovery, dynamic portfolio replication and value-at-risk. Those who study finance, risk management, quantitative finance or similar areas, as well as practitioners who wish to learn how to valuate, hedge and manage the market risk of currency options with more advanced models and techniques will find the book of invaluable use.
1. Introduction 2. Development of Theories on Currency Option Management 3. Volatility Recovery 4. Value-at-risk Calculation 5. Dynamic Portfolio Replication 6. Conclusions
Yat-faiLAM is the Principal at Structured Products Analytics of CapitaLogic Limited, an adjunct faculty teaching master programmes in banking/finance/financial engineering/financial services at City University of Hong Kong and an adjunct dissertation supervisor of The University of Warwick’s Master of Science programmes in Hong Kong. Prior to assuming his current positions Yat-fai has worked for a bank regulator, an international bank, an asset management firm and a credit rating agency, specializing in the implementation of Basel New Capital Accord.
Kin-keung LAI received his PhD at Michigan State University in 1977 and is currently a Chair Professor of Management Science at the City University of Hong Kong. He is the President of the Asia-Pacific Industrial Engineering and Management Society, the General Secretary of the Hong Kong Operational Research Society and a council member of the International Federation of Operations Research Societies. His main research interests include supply chain and operation management, forecasting, computational intelligence and risk analysis.
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