## Bootstrapping the Zero Curve and Forward Rates

6 mins read Deriving zero rates and forward rates using the bootstrapping process is a standard first step for many valuation, pricing and

6 mins read Deriving zero rates and forward rates using the bootstrapping process is a standard first step for many valuation, pricing and

3 mins read Understanding Option Greeks – Introducing Gamma Gamma is the second derivative of the option price with respect to the price

2 mins read N. N. Taleb explains Alpha or the Gamma Rent, in his book Dynamic Hedging, as ‘Theta per Gamma ratio’. At

3 mins read 1. What is Vega? Vega is the change in the value of the option with respect to change in volatility.

3 mins read A simple case study Theoretically speaking in the Black Scholes world the cost of the hedge should be close to

6 mins read We use a simple example to illustrate the calculation of Shadow Gamma as describe by Taleb in Dynamic Hedging. Gamma