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Managing currency options in financial institutions : Vanna-Volga method / Yat-Fai Lam and Kin-Keung Lai.

By: Contributor(s): Material type: TextTextSeries: Routledge advances in risk managementPublication details: New York: Routledge/ 2016.Description: xii, 94 pages : illustrationsISBN:
  • 9781138778054 (hardback)
Subject(s): DDC classification:
  • R 332.45 LAM.M
Contents:
Introduction -- Development of theories on currency option management -- Volatility recovery -- Value-at-risk calculation -- Dynamic portfolio replication -- Conclusions.
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Holdings
Item type Current library Home library Collection Call number Copy number Status Date due Barcode
Book Book Dept. of Commerce Processing Center Dept. of Commerce Non-fiction R 332.45 LAM.M (Browse shelf(Opens below)) 1 Not For Loan COM7667

Includes bibliographical references (pages 89-91) and index.

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

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