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Posted June 3, 2014 in Blog by Finance Training Course

Hedging higher order Greeks – Building the Excel Solver model

Hedging Higher Order Greeks using Excel – Building the Solver model

Our first attempt to hedge higher order Greeks is a simple illustrative scenario with a single option contract. (read: don’t try this back at your desk without supervision if you value your sales and trading job).

We start off where we stopped in lesson one on […]

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  1. Hedging higher order Greeks. Using Solver to hedge Vega, Gamma exposure
  2. Hedging Gamma & Vega – The higher order Greeks hedge optimization Excel spreadsheet – Part I
  3. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define & Set Solver Function & Results

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