Managing Currency Options in Financial Institutions

Vanna-Volga Method
1. Auflage 2018
ISBN: 978-1-138-31693-5
Verlag: Taylor & Francis

Buch, Englisch, 112 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 168 g

Reihe: Routledge Advances in Risk Management

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.

Autoren/Hrsg.

Lam, Yat-Fai

Lai, Kin-Keung

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

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

Über Autor(innen)

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.