# Category Archives: Excel Solver

## Portfolio Management Training – Dubai, Bangkok – March 2017

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

## Copulas in Excel. Theoretical foundations.

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

## Five steps to hedging Vega and Gamma exposure in Excel

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 Vega and Gamma exposure. Lesson Five

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.

## Hedging higher order Greeks – Hedging a book of short call options

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 – Solver Solution review

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

## Option Greeks – Building the Excel Solver model for hedging Greeks

Option Greeks – Building the Solver model for hedging Greeks Our first attempt to hedge higher order Greeks is a simple illustrative scenario with a single option contract. We start off where we stopped in lesson one on hedging higher order Greeks. We have sold (written)

## Option Greeks. Using Solver to hedge Vega Gamma exposure

Option Greeks. Option Hedging using Excel. Since a spot, forward or future position is linear in its pay off it has no second order derivative. Options on the other hand are non-linear (asymmetric payoffs). While we can get away with hedging Delta with a linear

## Advance Risk Management Models – Workshop & Training reference page

Advance Risk Management Models – Free Online Resource Guide Advance Risk Management Models (aka RM II) course is a 1 credit course taught at the SP Jain Campus in Dubai and Singapore by Jawwad Ahmed Farid. A variation of this course was  delivered (22-29th August

## Fixed Income Portfolio Management & Optimization Case Study

Fixed Income Portfolio Management using duration, convexity and Excel solver It doesn’t matter if you manage a pension fund, a life insurance trust fund or the proprietary book of an investment bank, at some point in time you hit your allocation and risk limits and

Comodo SSL