Dynamic Delta Hedging – Calculating Cash PnL (Profit & Loss) for a Call Option writer
5 mins read Dynamic Delta Hedging – Calculating Cash PnL (P&L) for a European Call Option Figure 1 Delta Hedge P&L – Trading
5 mins read Dynamic Delta Hedging – Calculating Cash PnL (P&L) for a European Call Option Figure 1 Delta Hedge P&L – Trading
4 mins read In our previous post on Dynamic Delta Hedging for European Call Options we built a simple simulation in model in
2 mins read A collection of everything we have ever written about understanding Delta, Gamma, Vega, Theta & Rho (the Greeks). To help
3 mins read This post is a continuation of our earlier post that describes the usage of historical simulation for VaR calculation of
2 mins read Valuing and marking to market over the counter interest rate (IRS) and cross currency swaps (CCS) has always been a
4 mins read Presenting the case to the client As part of our risk management training course in June we did a fair