Jawwad Farid
An Option Greeks Primer
Building Intuition with Delta Hedging and Monte Carlo Simulation using Excel
Paperback Engels 2015 9781349475728
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
This book provides a hands-on, practical guide to understanding derivatives pricing. Aimed at the less quantitative practitioner, it provides a balanced account of options, Greeks and hedging techniques avoiding the complicated mathematics inherent to many texts, and with a focus on modelling, market practice and intuition.
Specificaties
ISBN13:9781349475728
Taal:Engels
Bindwijze:paperback
Uitgever:Palgrave Macmillan UK
Serie:Global Financial Markets
Lezersrecensies
Wees de eerste die een lezersrecensie schrijft!
Inhoudsopgave
PART I: REFRESHER 0. Notation and Terminology 1. Delta and Gamma PART II: DELTA HEDGING 2. A Simulation Model for Delta Hedging – European Call Options 3. Delta Hedging European Put Options 4. Calculating Cash P&L for a Call Option 5. Calculating Cash P&L for a Put Option PART III: BUILDING SURFACES IN EXCEL 6. Understanding Volatility 7. Building Volatility Surfaces 8. Forward Implied Volatilities PART IV: HEDGING HIGHER ORDER GREEKS 9. Vega, Volga & Vanna 10. Hedging Higher Order Greeks 11. Reviewing the Solver Solution PART V: APPLICATIONS 12. Rebalancing, Implied Vol & Rho 13. Understanding Theta 14. Option Prices and Time to Expiry
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