ALM Strategies – Scenarios & Responses
6 mins read Default ALM strategies In our last post, we looked at a history of US Treasuries’ yield curve shifts between 1978
6 mins read Default ALM strategies In our last post, we looked at a history of US Treasuries’ yield curve shifts between 1978
4 mins read A visual depiction of shifts over the period 1978 – 2014 While we have spent a fair bit of time
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 Four scenarios to set things right. We go back to a simple world where implied volatility can take four possible
2 mins read Review Option Greeks Primer – Sign up deadline this weekend Option Greeks Primer will be published by Palgrave Macmillan in