Managing currency options in financial institutions: Vanna-Volga method
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London ; New York
Routledge
2016
|
| Series: | Routledge advances in risk management
7 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xii, 94 Seiten Diagramme |
| ISBN: | 9781138778054 |
Staff View
MARC
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Record in the Search Index
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Contents
List of figures ix
List of tables xi
About the authors xiij
Preface xv
1 Introduction 1
LÍ Background 1
1.2 Management of currency options 1
1.3 Currency option valuation 3
1.4 Importance of currency option valuation 4
1.5 Book objective 4
1.6 Questions 5
L 7 Deliverables 6
L8 Contributions 7
2 Development of theories on currency option management 8
2.1 Vanilla European currency options 8
2.2 Black-Scholes model 9
2.2.1 Currency option valuation 9
2.2.2 Greeks 10
2.2.3 Taylor expansion 10
2.3 Implied volatility 12
2.3.1 Volatility smile 12
2.3.2 Volatility surface 13
2.4 Trader’s rule of thumb 14
2.4.1 25-Delta risk reversal and 25-Delta butterfly 14
2.4.2 Currency option valuation 15
2.5 Malz formula 16
2.6 Value-at-risk 16
2.6.1 VaR amount at 99th percentile confidence level
over a one-day horizon 17
vi Contents
2.6.2 Forecasting of standard deviation 17
2.6.3 Backtesting 18
2.7 Dynamic portfolio replication 19
2.7.1 Temporal interpolation 20
2.8 Benchmarking 21
3 Volatility recovery 22
3.1 Theoretical framework 22
3.1.1 Fundamental problem 22
3.1.2 Volatility recovery approaches 28
3.2 Assessment methodology 32
3.2.1 Scenarios 32
3.2.2 Domain of application 32
3.2.3 Overall accuracy of volatility recovery approaches 33
3.2.4 Comparison of volatility recovery approaches 33
3.2.5 Unit of analysis 33
3.2.6 Variables 33
3.2.7 Measurement 35
3.2.8 Sample selection 36
3.2.9 Data analysis 36
3.2.10 Hypothesis construction 37
3.3 Results and discussions 37
3.3.1 Major currency analysis 37
3.3.2 Stress analysis 43
3.3.3 CNY analysis 48
3.3.4 Domain of application 54
3.4 Conclusions 56
4 Value-at-risk calculation 57
4.1 Theoretical framework 57
4.1.1 Delta-Gamma noncentral Chi-squared VaR methodology 57
4.L2 Kupiec-Lopez test 60
4.2 Analysis approach 61
4.2.1 Scenarios 61
4.2.2 Unit of analysis 62
4.2.3 Variables 62
4.2.4 Measurement 63
4.2.5 Sample selection 63
4.2.6 Secondary data collection 64
4.2. 7 Data analysis 64
4.2.8 Hypothesis construction 65
Contents vii
4.3 Results and discussions 65
4.3.1 Major currency test 65
4.3.2 Stress analysis 70
4.3.3 CNY analysis 71
4.4 Conclusions 72
5 Dynamic portfolio replication 73
5.1 Theoretical framework 73
5.2 Analysis approach 77
5.2.1 Scenarios 78
5.2.2 Unit of analysis 78
5.2.3 Variables 78
5.2.4 Measurement 79
5.2.5 Sample selection 79
5.2.6 Secondary data collection 80
5.2.7 Data analysis 80
5.2.8 Hypothesis construction 81
5.3 Results and discussions 81
5.3.1 Major currency test 81
5.3.2 Stress analysis 81
5.3.3 CNY analysis 85
5.4 Conclusions 86
Conclusions 87
References and further readings 89
Index 93 |
| any_adam_object | 1 |
| author | Lam, Yat-Fai Lai, Kin Keung 1950- |
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| author_facet | Lam, Yat-Fai Lai, Kin Keung 1950- |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.4/5 |
| dewey-search | 332.4/5 |
| dewey-sort | 3332.4 15 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042930793 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-21T01:13:42Z |
| institution | BVB |
| isbn | 9781138778054 |
| language | English |
| lccn | 2015011524 |
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| physical | xii, 94 Seiten Diagramme |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Routledge |
| record_format | marc |
| series | Routledge advances in risk management |
| series2 | Routledge advances in risk management |
| spelling | Lam, Yat-Fai Verfasser aut Managing currency options in financial institutions Vanna-Volga method Yat-fai Lam and Kin-keung Lai London ; New York Routledge 2016 xii, 94 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Routledge advances in risk management 7 Bank (DE-588)4004436-1 gnd rswk-swf Währungsoption (DE-588)4210451-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 s Risikomanagement (DE-588)4121590-4 s Währungsoption (DE-588)4210451-8 s b DE-604 Lai, Kin Keung 1950- Verfasser (DE-588)131350609 aut Erscheint auch als Online-Ausgabe 978-1-315-67713-2 Routledge advances in risk management 7 (DE-604)BV041709929 7 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028357611&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lam, Yat-Fai Lai, Kin Keung 1950- Managing currency options in financial institutions Vanna-Volga method Routledge advances in risk management Bank (DE-588)4004436-1 gnd Währungsoption (DE-588)4210451-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4210451-8 (DE-588)4121590-4 |
| title | Managing currency options in financial institutions Vanna-Volga method |
| title_auth | Managing currency options in financial institutions Vanna-Volga method |
| title_exact_search | Managing currency options in financial institutions Vanna-Volga method |
| title_full | Managing currency options in financial institutions Vanna-Volga method Yat-fai Lam and Kin-keung Lai |
| title_fullStr | Managing currency options in financial institutions Vanna-Volga method Yat-fai Lam and Kin-keung Lai |
| title_full_unstemmed | Managing currency options in financial institutions Vanna-Volga method Yat-fai Lam and Kin-keung Lai |
| title_short | Managing currency options in financial institutions |
| title_sort | managing currency options in financial institutions vanna volga method |
| title_sub | Vanna-Volga method |
| topic | Bank (DE-588)4004436-1 gnd Währungsoption (DE-588)4210451-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Bank Währungsoption Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028357611&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV041709929 |
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