The Greeks and Hedging Explained

2014. Auflage 2014
ISBN: 978-1-137-35073-2
Verlag: Palgrave MacMillan UK

Buch, Englisch, 134 Seiten, Format (B × H): 159 mm x 232 mm, Gewicht: 253 g

Reihe: Financial Engineering Explained

A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. 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.

Zielgruppe

Research

Autoren/Hrsg.

Leoni, Peter

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Betriebswirtschaft Management
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

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

Über Autor(innen)

Peter Leoni graduated in 2003 with a PhD in mathematical physics and then stumbled into the fascinating world of finance. He started his professional career in Belgium working for KBC Asset Management as a risk manager, modelling equity and interest rate derivatives. Later on he moved into ING as a front office quant on the exotic derivatives desk. In 2007 he switched his career path toward commodities with a particular focus on energy modelling. He spent four years in the trading unit of GDF Suez in Brussels and then worked for a private fund in Geneva, Macquarie Bank in London and currently for the London/Geneva office of a privately owned trading firm. He also holds the position of visiting professor for the Catholic University of Leuven in Belgium.