Managing Currency Options in Financial Institutions
Routledge (Verlag)
978-1-138-31693-5 (ISBN)
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.
Yat-fai LAM is the Principal at Structured 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 positions Yat-fai has worked for a bank regulator, an international 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.
1. Introduction 2. Development of Theories on Currency Option Management 3. Volatility Recovery 4. Value-at-risk Calculation 5. Dynamic Portfolio Replication 6. Conclusions
Erscheinungsdatum | 13.07.2018 |
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Reihe/Serie | Routledge Advances in Risk Management |
Zusatzinfo | 25 Tables, black and white; 7 Line drawings, black and white; 7 Illustrations, black and white |
Verlagsort | London |
Sprache | englisch |
Maße | 156 x 234 mm |
Gewicht | 174 g |
Themenwelt | Wirtschaft ► Allgemeines / Lexika |
Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre | |
Wirtschaft ► Volkswirtschaftslehre | |
ISBN-10 | 1-138-31693-8 / 1138316938 |
ISBN-13 | 978-1-138-31693-5 / 9781138316935 |
Zustand | Neuware |
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