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The Greeks and Hedging Explained (Paperback)
Loot Price: R1,258
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The Greeks and Hedging Explained (Paperback)
Series: Financial Engineering Explained
Expected to ship within 10 - 15 working days
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Most books on financial derivatives focus on either the investment
side of the business or on the mathematical models to price them.
However, there is a gap between how quantitative researchers,
analysts, structurers, risk managers and traders look and
communicate on derivatives problems. In particular there often is a
strong emphasis on pricing rather than hedging or risk management.
This book fills a gap for a technical but not impenetrable guide to
hedging options, and the 'Greek' (Theta, Vega, Rho, and Lambda)
parameters that represent the sensitivity of derivatives prices.
Taking the viewpoint of the front office practitioner, the book
introduces the various option hedging strategies and the
mathematics behind them in a concise but thorough manner. The book
begins at an elementary level, with an introduction to the
Black-Scholes formula (upon which most quantitative finance is
built) from a practitioner perspective. "The Greeks and Hedging
Explained" then develops the many themes that are omitted from many
textbooks but which actually make up most of what happens in
practice - including the effect of day conventions, interest rates
and sticky deltas. The book features numerous illustrations, worked
examples and, where appropriate, highlights market conventions over
academic assumption.
"The Greeks and Hedging Explained" is a welcome addition to the
"Financial Engineering Explained" series and will serve as a
foundation text for some of the more complex titles in the
series.
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