Currency Derivatives

58 white papers and resources

Risk Library offers a wide range of currency derivatives white paper, industry report and legal briefings which consider current issues, thinking and market conditions. A currency derivative is a legally binding agreement between two parties which gives the investor the right to buy or sell currency at a set price or exchange rate for a period of time in the future date.

Recovering Greeks from sensitivities

This quantitative paper presents a model-independent method for calculating delta, vega and rho based on a comparison of the sensitivities of any derivative payoff with those of its underlying observables. This allows for generic definitions for these Greeks with an intuitive geometric…