SlideShare ist ein Scribd-Unternehmen logo
1 von 20
Greeks and volatiltiy By A V Vedpuriswar September 21, 2009
Volatility
Basics of volatility ,[object Object],[object Object],[object Object]
Estimating Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Estimating Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Greeks
Delta ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Theta  ,[object Object],[object Object],[object Object],[object Object]
Gamma  ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Vega  ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Rho  ,[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object]
[object Object],Problem
[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Weitere ähnliche Inhalte

Ähnlich wie Greeks And Volatility

Chap 15
Chap 15Chap 15
Chap 15
uichong
 
Strategic Fx Risk Management
Strategic Fx Risk ManagementStrategic Fx Risk Management
Strategic Fx Risk Management
Jan Vermeer
 
Fuzzy portfolio optimization_Yuxiang Ou
Fuzzy portfolio optimization_Yuxiang OuFuzzy portfolio optimization_Yuxiang Ou
Fuzzy portfolio optimization_Yuxiang Ou
Yuxiang Ou
 
Derivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin CalculusDerivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin Calculus
Hugo Delatte
 

Ähnlich wie Greeks And Volatility (20)

Uncertain volatillity Models
Uncertain volatillity ModelsUncertain volatillity Models
Uncertain volatillity Models
 
Chap 15
Chap 15Chap 15
Chap 15
 
Derivatives - Delta Gamma Vega Theta Rho
Derivatives - Delta  Gamma Vega Theta RhoDerivatives - Delta  Gamma Vega Theta Rho
Derivatives - Delta Gamma Vega Theta Rho
 
Nonlinear Price Impact and Portfolio Choice
Nonlinear Price Impact and Portfolio ChoiceNonlinear Price Impact and Portfolio Choice
Nonlinear Price Impact and Portfolio Choice
 
Risk and Risk Aversion FM
Risk and Risk Aversion FMRisk and Risk Aversion FM
Risk and Risk Aversion FM
 
Social Cost in Pandemic as Expected Convex Loss
Social Cost in Pandemic as Expected Convex LossSocial Cost in Pandemic as Expected Convex Loss
Social Cost in Pandemic as Expected Convex Loss
 
Strategic Fx Risk Management
Strategic Fx Risk ManagementStrategic Fx Risk Management
Strategic Fx Risk Management
 
Intro to Quant Trading Strategies (Lecture 10 of 10)
Intro to Quant Trading Strategies (Lecture 10 of 10)Intro to Quant Trading Strategies (Lecture 10 of 10)
Intro to Quant Trading Strategies (Lecture 10 of 10)
 
Intro to Quant Trading Strategies (Lecture 8 of 10)
Intro to Quant Trading Strategies (Lecture 8 of 10)Intro to Quant Trading Strategies (Lecture 8 of 10)
Intro to Quant Trading Strategies (Lecture 8 of 10)
 
FRM 2007 1. Volatility
FRM 2007 1. VolatilityFRM 2007 1. Volatility
FRM 2007 1. Volatility
 
Fuzzy portfolio optimization_Yuxiang Ou
Fuzzy portfolio optimization_Yuxiang OuFuzzy portfolio optimization_Yuxiang Ou
Fuzzy portfolio optimization_Yuxiang Ou
 
Option_Greeks
Option_GreeksOption_Greeks
Option_Greeks
 
Intro to Quant Trading Strategies (Lecture 4 of 10)
Intro to Quant Trading Strategies (Lecture 4 of 10)Intro to Quant Trading Strategies (Lecture 4 of 10)
Intro to Quant Trading Strategies (Lecture 4 of 10)
 
PPT - Deep Hedging OF Derivatives Using Reinforcement Learning
PPT - Deep Hedging OF Derivatives Using Reinforcement LearningPPT - Deep Hedging OF Derivatives Using Reinforcement Learning
PPT - Deep Hedging OF Derivatives Using Reinforcement Learning
 
Who Should Sell Stocks?
Who Should Sell Stocks?Who Should Sell Stocks?
Who Should Sell Stocks?
 
Hedging Volatility Ch 19,20.pptx
Hedging Volatility Ch 19,20.pptxHedging Volatility Ch 19,20.pptx
Hedging Volatility Ch 19,20.pptx
 
Derivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin CalculusDerivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin Calculus
 
Estimating Market Risk Measures: An Introduction and Overview
Estimating Market Risk Measures: An Introduction and OverviewEstimating Market Risk Measures: An Introduction and Overview
Estimating Market Risk Measures: An Introduction and Overview
 
Shortfall Aversion
Shortfall AversionShortfall Aversion
Shortfall Aversion
 
DNN_M3_Optimization.pdf
DNN_M3_Optimization.pdfDNN_M3_Optimization.pdf
DNN_M3_Optimization.pdf
 

Mehr von av vedpuriswar (7)

Operational Risk Management Oct 4
Operational Risk Management Oct 4Operational Risk Management Oct 4
Operational Risk Management Oct 4
 
Var Problems
Var ProblemsVar Problems
Var Problems
 
Value At Risk Sep 22
Value At Risk Sep 22Value At Risk Sep 22
Value At Risk Sep 22
 
Credit Derivatives
Credit DerivativesCredit Derivatives
Credit Derivatives
 
Credit Risk Modelling Primer
Credit Risk Modelling PrimerCredit Risk Modelling Primer
Credit Risk Modelling Primer
 
Credit Risk Management Problems
Credit Risk Management ProblemsCredit Risk Management Problems
Credit Risk Management Problems
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primer
 

KĂźrzlich hochgeladen

Jual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan Cytotec
Jual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan CytotecJual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan Cytotec
Jual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan Cytotec
ZurliaSoop
 
Challenges and Opportunities: A Qualitative Study on Tax Compliance in Pakistan
Challenges and Opportunities: A Qualitative Study on Tax Compliance in PakistanChallenges and Opportunities: A Qualitative Study on Tax Compliance in Pakistan
Challenges and Opportunities: A Qualitative Study on Tax Compliance in Pakistan
vineshkumarsajnani12
 

KĂźrzlich hochgeladen (20)

Cannabis Legalization World Map: 2024 Updated
Cannabis Legalization World Map: 2024 UpdatedCannabis Legalization World Map: 2024 Updated
Cannabis Legalization World Map: 2024 Updated
 
Jual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan Cytotec
Jual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan CytotecJual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan Cytotec
Jual Obat Aborsi ( Asli No.1 ) 085657271886 Obat Penggugur Kandungan Cytotec
 
Lucknow Housewife Escorts by Sexy Bhabhi Service 8250092165
Lucknow Housewife Escorts  by Sexy Bhabhi Service 8250092165Lucknow Housewife Escorts  by Sexy Bhabhi Service 8250092165
Lucknow Housewife Escorts by Sexy Bhabhi Service 8250092165
 
Arti Languages Pre Seed Teaser Deck 2024.pdf
Arti Languages Pre Seed Teaser Deck 2024.pdfArti Languages Pre Seed Teaser Deck 2024.pdf
Arti Languages Pre Seed Teaser Deck 2024.pdf
 
Uneak White's Personal Brand Exploration Presentation
Uneak White's Personal Brand Exploration PresentationUneak White's Personal Brand Exploration Presentation
Uneak White's Personal Brand Exploration Presentation
 
Buy gmail accounts.pdf buy Old Gmail Accounts
Buy gmail accounts.pdf buy Old Gmail AccountsBuy gmail accounts.pdf buy Old Gmail Accounts
Buy gmail accounts.pdf buy Old Gmail Accounts
 
HomeRoots Pitch Deck | Investor Insights | April 2024
HomeRoots Pitch Deck | Investor Insights | April 2024HomeRoots Pitch Deck | Investor Insights | April 2024
HomeRoots Pitch Deck | Investor Insights | April 2024
 
Katrina Personal Brand Project and portfolio 1
Katrina Personal Brand Project and portfolio 1Katrina Personal Brand Project and portfolio 1
Katrina Personal Brand Project and portfolio 1
 
Escorts in Nungambakkam Phone 8250092165 Enjoy 24/7 Escort Service Enjoy Your...
Escorts in Nungambakkam Phone 8250092165 Enjoy 24/7 Escort Service Enjoy Your...Escorts in Nungambakkam Phone 8250092165 Enjoy 24/7 Escort Service Enjoy Your...
Escorts in Nungambakkam Phone 8250092165 Enjoy 24/7 Escort Service Enjoy Your...
 
Challenges and Opportunities: A Qualitative Study on Tax Compliance in Pakistan
Challenges and Opportunities: A Qualitative Study on Tax Compliance in PakistanChallenges and Opportunities: A Qualitative Study on Tax Compliance in Pakistan
Challenges and Opportunities: A Qualitative Study on Tax Compliance in Pakistan
 
GUWAHATI 💋 Call Girl 9827461493 Call Girls in Escort service book now
GUWAHATI 💋 Call Girl 9827461493 Call Girls in  Escort service book nowGUWAHATI 💋 Call Girl 9827461493 Call Girls in  Escort service book now
GUWAHATI 💋 Call Girl 9827461493 Call Girls in Escort service book now
 
Paradip CALL GIRL❤7091819311❤CALL GIRLS IN ESCORT SERVICE WE ARE PROVIDING
Paradip CALL GIRL❤7091819311❤CALL GIRLS IN ESCORT SERVICE WE ARE PROVIDINGParadip CALL GIRL❤7091819311❤CALL GIRLS IN ESCORT SERVICE WE ARE PROVIDING
Paradip CALL GIRL❤7091819311❤CALL GIRLS IN ESCORT SERVICE WE ARE PROVIDING
 
Nashik Call Girl Just Call 7091819311 Top Class Call Girl Service Available
Nashik Call Girl Just Call 7091819311 Top Class Call Girl Service AvailableNashik Call Girl Just Call 7091819311 Top Class Call Girl Service Available
Nashik Call Girl Just Call 7091819311 Top Class Call Girl Service Available
 
Getting Real with AI - Columbus DAW - May 2024 - Nick Woo from AlignAI
Getting Real with AI - Columbus DAW - May 2024 - Nick Woo from AlignAIGetting Real with AI - Columbus DAW - May 2024 - Nick Woo from AlignAI
Getting Real with AI - Columbus DAW - May 2024 - Nick Woo from AlignAI
 
Pre Engineered Building Manufacturers Hyderabad.pptx
Pre Engineered  Building Manufacturers Hyderabad.pptxPre Engineered  Building Manufacturers Hyderabad.pptx
Pre Engineered Building Manufacturers Hyderabad.pptx
 
Unveiling Falcon Invoice Discounting: Leading the Way as India's Premier Bill...
Unveiling Falcon Invoice Discounting: Leading the Way as India's Premier Bill...Unveiling Falcon Invoice Discounting: Leading the Way as India's Premier Bill...
Unveiling Falcon Invoice Discounting: Leading the Way as India's Premier Bill...
 
Dr. Admir Softic_ presentation_Green Club_ENG.pdf
Dr. Admir Softic_ presentation_Green Club_ENG.pdfDr. Admir Softic_ presentation_Green Club_ENG.pdf
Dr. Admir Softic_ presentation_Green Club_ENG.pdf
 
WheelTug Short Pitch Deck 2024 | Byond Insights
WheelTug Short Pitch Deck 2024 | Byond InsightsWheelTug Short Pitch Deck 2024 | Byond Insights
WheelTug Short Pitch Deck 2024 | Byond Insights
 
JAJPUR CALL GIRL ❤ 82729*64427❤ CALL GIRLS IN JAJPUR ESCORTS
JAJPUR CALL GIRL ❤ 82729*64427❤ CALL GIRLS IN JAJPUR  ESCORTSJAJPUR CALL GIRL ❤ 82729*64427❤ CALL GIRLS IN JAJPUR  ESCORTS
JAJPUR CALL GIRL ❤ 82729*64427❤ CALL GIRLS IN JAJPUR ESCORTS
 
Falcon Invoice Discounting: Empowering Your Business Growth
Falcon Invoice Discounting: Empowering Your Business GrowthFalcon Invoice Discounting: Empowering Your Business Growth
Falcon Invoice Discounting: Empowering Your Business Growth
 

Greeks And Volatility