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Lecture 11 Volatility expansion

Lecture 11 Volatility expansion

Bruno Dupire Bloomberg LP. Lecture 11 Volatility expansion. Volatility Expansion. Introduction. This talk aims at providing a better understanding of: How local volatilities contribute to the value of an option How P&L is impacted when volatility is misspecified

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657 views • 53 slides
Lecture 11 Volatility expansion

Lecture 11 Volatility expansion

Bruno Dupire Bloomberg LP. Lecture 11 Volatility expansion. Volatility Expansion. Introduction. This talk aims at providing a better understanding of: How local volatilities contribute to the value of an option How P&L is impacted when volatility is misspecified

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541 views • 53 slides
FIN 685: Risk Management

FIN 685: Risk Management

FIN 685: Risk Management. Topic 3: Non-Linear Hedging Larry Schrenk, Instructor. Topics. Black- Scholes Model Greeks Hedging An Extended Example. The Black- Scholes Model. Black- Scholes Formula. Variables. S = Spot Price X = Exercise Price r = Risk Free Rate

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502 views • 41 slides
The Greek Letters

The Greek Letters

The Greek Letters. Finance (Derivative Securities) 312 Tuesday, 17 October 2006 Readings: Chapter 15. Hedging. Suppose that: A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend paying stock

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432 views • 26 slides
Delta-Hedging with Tracking Risk

Delta-Hedging with Tracking Risk

WEMBA 2000 Real Options 77. Delta-Hedging with Tracking Risk. Basis Risk When the cashflows from the project are not perfectly correlated with the asset we are using to delta-hedge. Example Suppose that, in Rigby Oil, we extract crude oil, while the market price of oil is

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192 views • 5 slides

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