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

by Lam, Yat-Fai.
Authors: Lai, Kin Keung.%author Series: Routledge advances in risk management Published by : Routledge, (Abingdon, Oxon :) Physical details: xii, 94 p. ; 25 cm. ISBN: 1138778052 Subject(s): Options (Finance) | Foreign exchange futures. | Currency swaps. | Bank investments. | Financial risk management. Year: 2016
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Book Book AUM Main Library 332.45 L213 (Browse Shelf) Available 2015104

Introduction -- Development of theories on currency option management -- Volatility recovery -- Value-at-risk calculation -- Dynamic portfolio replication -- Conclusions.

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