An option Greeks primer : building intuition using Delta hedging and Monte Carlo simulation in Excel /: building intuition using Delta hedging and Monte Carlo simulation in Excel. (2015)

• Record Type: Book
• Further Information: Note: Jawwad Farid.
• Authors: Farid, Jawwad Ahmed
• Contents: PART I: REFRESHER -- 0. Notation and Terminology -- 1. Delta and Gamma -- PART II: DELTA HEDGING -- 2. A Simulation Model for Delta Hedging ₆ 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.
• Publisher Details: Houndmills, Basingstoke, Hampshire : Palgrave Macmillan
• Publication Date: 2015
• Extent: 1 online resource (xxxii, 246 pages)
• Subjects: 332.64/53; Finance; Options (Finance); Hedging (Finance); Finance -- Mathematical models; Monte Carlo method; Risk management; Investment banking; Securities; Business mathematics; Capital market; BUSINESS & ECONOMICS -- Finance; Finance -- Mathematical models; Hedging (Finance); Monte Carlo method; Options (Finance); Business & Economics -- Corporate Finance; Business & Economics -- Investments & Securities; Business & Economics -- Business Mathematics; Corporate finance; Investment & securities; Business mathematics & systems; Finance; Business & Economics -- Insurance -- Risk Assessment & Management; Management & management techniques; Electronic books
• Languages: English
• ISBNs: 9781137371676; 1137371676; 1137371668; 9781137371669
• Related ISBNs: 9781137371669
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.