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Palgrave Macmillan

The Greeks and Hedging Explained

  • Book
  • © 2014

Overview

Authors:
  1. Peter Leoni

    1. KU Leuven, Belgium

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  • Hands on application explains hedging as it is applied in practice, not as is described in textbooks, allowing readers to better understand the trading floor
  • Need-to-know information with the most important models introduced and explained in an intuitive way without going into unnecessary mathematics
  • Case studies feature up-to-date market examples and conventions that are not found in related or commonly used texts

Part of the book series: Financial Engineering Explained (FEX)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xiv
    Download chapter 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
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Keywords

About this book

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.

Authors and Affiliations

  • KU Leuven, Belgium

    Peter Leoni

About the author

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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