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lam yat-fai; lai kin-keung - managing currency options in financial institutions

Managing Currency Options in Financial Institutions Vanna-Volga method

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Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Routledge

Pubblicazione: 08/2015
Edizione: 1° edizione





Note Editore

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 bookillustrates with technical detailstoshed 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.




Sommario

1. Introduction 2. Development of Theories on Currency Option Management 3. Volatility Recovery 4. Value-at-risk Calculation 5. Dynamic Portfolio Replication 6. Conclusions




Autore

Yat-fai LAM is the Principal atStructured 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 positionsYat-fai has worked for a bank regulator, aninternational 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.










Altre Informazioni

ISBN:

9781138778054

Condizione: Nuovo
Collana: Routledge Advances in Risk Management
Dimensioni: 9.25 x 6.25 in Ø 0.65 lb
Formato: Copertina rigida
Illustration Notes:7 b/w images, 25 tables and 7 line drawings
Pagine Arabe: 94
Pagine Romane: xvi


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