Thesis
Vanna-Volga and Karasinski Risk Correction Methods
- Abstract:
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The Vanna-Volga (VV) method has been in wide use as one of the major tools for several years among foreign exchange (FX) trading desks. Despite its popularity, the properties of the VV method are not well studied and understood. This thesis attempts to understand better why and when the VV method makes sense, and how to use it better. Often under practical circumstances the state of calibration can be described as being frequent but imperfect. To take advantage of this level of calibration, w...
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Authors
Contributors
+ Giles, M
Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
+ Howison, S
Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
Bibliographic Details
- Publication date:
- 2009
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- Oxford University, UK
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
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uuid:13b26eac-8e60-4e5e-8645-007dbcc2b6e0
- Local pid:
- ora:3858
- Deposit date:
- 2010-06-08
Terms of use
- Copyright holder:
- Tao, M
- Copyright date:
- 2010
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