Gamma & Vega Hedging Archives | FinanceTrainingCourse.com

Option P&L with Gamma correction

Computational Finance EXCEL Examples Gamma Hedging Greeks Risk

Gamma Correction, Delta Hedging P&L & Rebalancing Frequency

June 9, 2014January 24, 2020

3 mins read time A simple case study Theoretically speaking in the Black Scholes […]

Delta Gamma plot against strike

Computational Finance Gamma Hedging Greeks Hedging Gamma and Vega Risk

Shadow Gamma Calculation

June 9, 2014November 20, 2019

6 mins read time We use a simple example to illustrate the calculation of […]

Hedging Higher Order Option Greeks in Excel

Computational Finance Editors Choice EXCEL Examples Excel Solver Gamma Hedging Greeks Hedging Gamma and Vega Risk

Five steps to hedging Vega and Gamma exposure in EXCEL

June 5, 2014April 9, 2020

2 mins read time We build a simple Excel spreadsheet that allows us to […]

HedgingVega5

Computational Finance Editors Choice EXCEL Examples Excel Solver Greeks Hedging Gamma and Vega Options Pricing Risk Treasury

Hedging Vega and Gamma exposure. Lesson Five

June 5, 2014February 26, 201911 Comments

6 mins read time For our portfolio model we need an objective function that […]

Hedging Higher Order Option Greeks in Excel

Computational Finance EXCEL Examples Excel Solver Greeks Risk Sales & Trading

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

June 4, 2014September 29, 20141 Comment

3 mins read time Lesson Four – Hedging higher order Greeks for a book […]

Greeks Middle Office and VaR Sales & Trading Treasury

Hedging Gamma & Vega – The higher order Greeks hedge optimization Excel spreadsheet – Part I

November 3, 2012June 24, 20191 Comment

3 mins read time In earlier posts we have set the foundation for hedging […]