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.
1. Introduction 2. Development of Theories on Currency Option Management 3. Volatility Recovery 4. Value-at-risk Calculation 5. Dynamic Portfolio Replication 6. Conclusions
Risk management is one of the most important, most urgent and most difficult topics for not only top managers of every enterprise and top officials of every governmental department, but also for scientists in the fields of economics, finance, engineering, social science and earth science.
The book series places emphasis on the main problems of risk management in the changing new environments of operational and systems management. It invites quality works covering analysis, modeling, empirical studies and case analysis so as to offer solutions to the emerging new challenges.
It aims to publish new theories of risk management, new methods for risk management and new successful applications in risk management to promote research and development of risk management in many industries and many disciplines; to provide a bridge for exchange of academic researchers and practical risk managers to help academic researchers’ better understanding of risk and risk management and to help managers and officials to learn new methods, techniques and tools which might be efficient in risk identification, risk analysis, risk control and risk management.