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The Greeks and hedging explained /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	The Greeks and hedging explained // Peter Leoni.
作者:	Leoni, Peter,
面頁冊數:	1 online resource.
標題:	Derivative securities. -
電子資源:	http://www.palgraveconnect.com/doifinder/10.1057/9781137350749
ISBN:	1137350741 (electronic bk.)

The Greeks and hedging explained /
Leoni, Peter,

The Greeks and hedging explained /Peter Leoni. - 1 online resource.

1. Hedging Contingent Claims -- 2. Delta Hedging in the Perfect World -- 3. The Balance between Gamma and Theta -- 4. Trading is the Answer to the Unknown -- 5. Vega as a Crucial Greek -- 6. The Greek Approximation -- 7. Volatility Term Structure -- 8. Skew and Smile.

Most books on financial derivatives focus on either the investment side of the business or on the mathematical models to price them. However, there is a gap between how quantitative researchers, analysts, structurers, risk managers and traders look and communicate on derivatives problems. In particular there often is a strong emphasis on pricing rather than hedging or risk management. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho, and Lambda) parameters that represent the sensitivity of derivatives prices. Taking the viewpoint of the front office practitioner, the book introduces the various option hedging strategies and the mathematics behind them in a concise but thorough manner. The book begins at an elementary level, with an introduction to the Black-Scholes formula (upon which most quantitative finance is built) from a practitioner perspective. The Greeks and Hedging Explained then develops the many themes that are omitted from many textbooks but which actually make up most of what happens in practice -- including the effect of day conventions, interest rates and sticky deltas. The book features numerous illustrations, worked examples and, where appropriate, highlights market conventions over academic assumption. The Greeks and Hedging Explained is a welcome addition to the Financial Engineering Explained series and will serve as a foundation text for some of the more complex titles in the series.

ISBN: 1137350741 (electronic bk.)

Source: 688066Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

557717
Derivative securities.
Index Terms--Genre/Form:

554714
Electronic books.

LC Class. No.: HG6024.A3

Dewey Class. No.: 332.64/524

The Greeks and hedging explained /
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100 1 $a Leoni, Peter, $e author. $3 1008518
245 1 4 $a The Greeks and hedging explained / $c Peter Leoni.
264 1 $a [Basingstoke] : $b Palgrave Macmillan, $c 2014.
300 $a 1 online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
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505 0 $a 1. Hedging Contingent Claims -- 2. Delta Hedging in the Perfect World -- 3. The Balance between Gamma and Theta -- 4. Trading is the Answer to the Unknown -- 5. Vega as a Crucial Greek -- 6. The Greek Approximation -- 7. Volatility Term Structure -- 8. Skew and Smile.
520 $a Most books on financial derivatives focus on either the investment side of the business or on the mathematical models to price them. However, there is a gap between how quantitative researchers, analysts, structurers, risk managers and traders look and communicate on derivatives problems. In particular there often is a strong emphasis on pricing rather than hedging or risk management. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho, and Lambda) parameters that represent the sensitivity of derivatives prices. Taking the viewpoint of the front office practitioner, the book introduces the various option hedging strategies and the mathematics behind them in a concise but thorough manner. The book begins at an elementary level, with an introduction to the Black-Scholes formula (upon which most quantitative finance is built) from a practitioner perspective. The Greeks and Hedging Explained then develops the many themes that are omitted from many textbooks but which actually make up most of what happens in practice -- including the effect of day conventions, interest rates and sticky deltas. The book features numerous illustrations, worked examples and, where appropriate, highlights market conventions over academic assumption. The Greeks and Hedging Explained is a welcome addition to the Financial Engineering Explained series and will serve as a foundation text for some of the more complex titles in the series.
588 $a Description based on publisher supplied information; title not viewed.
650 0 $a Derivative securities. $3 557717
650 0 $a Hedging (Finance) $3 559157
655 7 $a Electronic books. $2 local $3 554714
710 2 $a Palgrave Connect (Online service) $3 834339
856 4 0 $3 Palgrave Connect $u http://www.palgraveconnect.com/doifinder/10.1057/9781137350749