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

Detalles Bibliográficos
Autor Principal: Lam, Yat-Fai
Outros autores: Lai, Kin Keung
Formato: Printed Book
Publicado: New York: Routledge/ 2016.
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.

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