Managing Currency Options in Financial Institutions - Lam, Yat-Fai a Lai, Kin-Keung (Shaanxi Normal University, China)

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.