Blog
Comments Off on Hedging higher order Greeks. Using Solver to hedge Vega, Gamma exposure
Posted June 3, 2014 in Blog by Finance Training Course

Hedging higher order Greeks. Using Solver to hedge Vega, Gamma exposure

Hedging Higher Order Greeks

Since a spot, forward or future position is linear in its pay off it has no second order derivative. Options on the other hand are non-linear (asymmetric payoffs). While we can get away with hedging Delta with a linear position because Delta is a linear approximation (a tangent used to estimate the […]

Related posts:

  1. Hedging Gamma & Vega – The higher order Greeks hedge optimization Excel spreadsheet – Part I
  2. Option Greeks – Delta, Gamma, Vega, Theta & Rho. A quick reference guide
  3. Sales & Trading Interview Guide: Understanding Greeks: Option Delta and Gamma

Comments are closed.

Random Testimonial

  • ~ Student Testimonials

    "Concise, to the point. Very informative and very practical.”

     

    “I loved the course!! Very interesting. Good lectures.”

     

    “Excellent, very informative and inspiring.”

     

    “In total awe of the way he taught…”

     

    “Well versed with the subject and able to transmit the subject properly.”

     

    “Excellent. If the time could be extended this would be an even better learning experience.”

     

    Excellent teaching skills. The instructor made every effort to explain most complicated finance concepts in simplest possible ways."

  • Read more testimonials »