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Thesis

Vanna-Volga and Karasinski Risk Correction Methods

Abstract:

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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Institution:
University of Oxford
Research group:
Mathematical Finance
Oxford college:
Merton College
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute

Contributors

Role:
Supervisor
Role:
Supervisor
Publication date:
2009
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:13b26eac-8e60-4e5e-8645-007dbcc2b6e0
Local pid:
ora:3858

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