Portfolio Management Training workshop, Dubai, Bangkok This intense, hands on two day training workshop on Advance Portfolio Management techniques is meant as a hands on refresher for both new and experienced portfolio managers. The course uses Excel Solver optimization as a canvas for exploring and answering a
Building Copulas in Excel. Foundations. Copulas – revisiting the definition. In our first lesson on Copulas in Excel we introduced the concept of marginal (individual) distributions for the two blends of crude oil we are interested in modeling. We also spoke about a joint distribution
Building an illustrative Vega and Gamma hedging model in Excel. We build a simple Excel spreadsheet that allows us to hedge Gamma and Vega exposure for a single short position in a call option contract. Gamma and Vega hedges are created by buying cheaper out
Hedging portfolio Vega and Gamma using solver. Lesson Five For our portfolio model we need an objective function that allows us to minimize the cumulative Greek gap across maturity buckets with respect to Vega and Gamma between the short positions and the proposed hedge portfolio.
Lesson Four – Hedging higher order Greeks for a book of short call options We are now ready to move to a more sophisticated version of our hedging higher order Greeks problem. Rather than limiting ourselves to a single short position we are going to
Hedging Higher order Greeks – Lesson Three We are now ready to solve the Gamma Vega hedging optimization model in Excel created in our first two lessons earlier. For a quick review see: Lesson One – Introduction Lesson Two – Setting up the Solver Model