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

Bibliografische gegevens
Hoofdauteur: Lam, Yat-Fai
Andere auteurs: Lai, Kin Keung
Formaat: Printed Book
Gepubliceerd in: New York: Routledge/ 2016.
Reeks:Routledge advances in risk management
Onderwerpen:
Options (Finance)
Foreign exchange futures.
Currency swaps.
Bank investments.
Financial risk management.
Inhoudsopgave:
  • Introduction
  • Development of theories on currency option management
  • Volatility recovery
  • Value-at-risk calculation
  • Dynamic portfolio replication
  • Conclusions.

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