The Greeks and Hedging Explained

1. Front Matter

   Pages i-xiv

   PDF

2. Hedging Contingent Claims

   • Peter Leoni

   Pages 1-23

3. Delta Hedging in the Perfect World

   • Peter Leoni

   Pages 24-39

4. The Balance between Gamma and Theta

   • Peter Leoni

   Pages 40-61

5. Trading Is the Answer to the Unknown

   • Peter Leoni

   Pages 62-74

6. Vega as a Crucial Greek

   • Peter Leoni

   Pages 75-84

7. The Greek Approximation

   • Peter Leoni

   Pages 85-97

8. Volatility Term Structure

   • Peter Leoni

   Pages 98-108

9. Skew and Smile

   • Peter Leoni

   Pages 109-123

10. Back Matter

    Pages 124-130

    PDF

A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. 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.

• Black-Scholes
• Delta hedge
• dynamic replication
• The Greeks
• Volatility
• Gamma
• Vega
• Theta
• Hedging
• Skew
• Smile
• Term Structure
• Trading
• derivatives
• Options
• Risk Management
• investments and securities

• KU Leuven, Belgium

  Peter Leoni

Peter Leoni graduated in 2003 with a PhD in mathematical physics and then stumbled into the fascinating world of finance. He started his professional career in Belgium working for KBC Asset Management as a risk manager, modelling equity and interest rate derivatives. Later on he moved into ING as a front office quant on the exotic derivatives desk. In 2007 he switched his career path toward commodities with a particular focus on energy modelling. He spent four years in the trading unit of GDF Suez in Brussels and then worked for a private fund in Geneva, Macquarie Bank in London and currently for the London/Geneva office of a privately owned trading firm. He also holds the position of visiting professor for the Catholic University of Leuven in Belgium.

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