SlideShare uma empresa Scribd logo
1 de 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]

Mais conteúdo relacionado

Semelhante a Greeks And Volatility

Uncertain volatillity Models
Uncertain volatillity ModelsUncertain volatillity Models
Uncertain volatillity ModelsLuigi Piva CQF
 
Derivatives - Delta Gamma Vega Theta Rho
Derivatives - Delta  Gamma Vega Theta RhoDerivatives - Delta  Gamma Vega Theta Rho
Derivatives - Delta Gamma Vega Theta RhoAmeya Ranadive
 
Nonlinear Price Impact and Portfolio Choice
Nonlinear Price Impact and Portfolio ChoiceNonlinear Price Impact and Portfolio Choice
Nonlinear Price Impact and Portfolio Choiceguasoni
 
Risk and Risk Aversion FM
Risk and Risk Aversion FMRisk and Risk Aversion FM
Risk and Risk Aversion FMFellowBuddy.com
 
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 LossRikiya Takahashi
 
Strategic Fx Risk Management
Strategic Fx Risk ManagementStrategic Fx Risk Management
Strategic Fx Risk ManagementJan Vermeer
 
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)Adrian Aley
 
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)Adrian Aley
 
FRM 2007 1. Volatility
FRM 2007 1. VolatilityFRM 2007 1. Volatility
FRM 2007 1. Volatilityturtle
 
Fuzzy portfolio optimization_Yuxiang Ou
Fuzzy portfolio optimization_Yuxiang OuFuzzy portfolio optimization_Yuxiang Ou
Fuzzy portfolio optimization_Yuxiang OuYuxiang Ou
 
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)Adrian Aley
 
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 LearningJisang Yoon
 
Who Should Sell Stocks?
Who Should Sell Stocks?Who Should Sell Stocks?
Who Should Sell Stocks?guasoni
 
Hedging Volatility Ch 19,20.pptx
Hedging Volatility Ch 19,20.pptxHedging Volatility Ch 19,20.pptx
Hedging Volatility Ch 19,20.pptxAnonymous0brFN93
 
Derivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin CalculusDerivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin CalculusHugo Delatte
 
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 OverviewNamrata Das, MBA, FRM
 
Shortfall Aversion
Shortfall AversionShortfall Aversion
Shortfall Aversionguasoni
 

Semelhante a 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
 

Mais de av vedpuriswar

Operational Risk Management Oct 4
Operational Risk Management Oct 4Operational Risk Management Oct 4
Operational Risk Management Oct 4av vedpuriswar
 
Credit Risk Modelling Primer
Credit Risk Modelling PrimerCredit Risk Modelling Primer
Credit Risk Modelling Primerav vedpuriswar
 
Credit Risk Management Problems
Credit Risk Management ProblemsCredit Risk Management Problems
Credit Risk Management Problemsav vedpuriswar
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primerav vedpuriswar
 

Mais de 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
 

Último

How to Get Started in Social Media for Art League City
How to Get Started in Social Media for Art League CityHow to Get Started in Social Media for Art League City
How to Get Started in Social Media for Art League CityEric T. Tung
 
PHX May 2024 Corporate Presentation Final
PHX May 2024 Corporate Presentation FinalPHX May 2024 Corporate Presentation Final
PHX May 2024 Corporate Presentation FinalPanhandleOilandGas
 
Putting the SPARK into Virtual Training.pptx
Putting the SPARK into Virtual Training.pptxPutting the SPARK into Virtual Training.pptx
Putting the SPARK into Virtual Training.pptxCynthia Clay
 
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 CytotecZurliaSoop
 
Over the Top (OTT) Market Size & Growth Outlook 2024-2030
Over the Top (OTT) Market Size & Growth Outlook 2024-2030Over the Top (OTT) Market Size & Growth Outlook 2024-2030
Over the Top (OTT) Market Size & Growth Outlook 2024-2030tarushabhavsar
 
CROSS CULTURAL NEGOTIATION BY PANMISEM NS
CROSS CULTURAL NEGOTIATION BY PANMISEM NSCROSS CULTURAL NEGOTIATION BY PANMISEM NS
CROSS CULTURAL NEGOTIATION BY PANMISEM NSpanmisemningshen123
 
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...Falcon Invoice Discounting
 
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.pdfwill854175
 
New 2024 Cannabis Edibles Investor Pitch Deck Template
New 2024 Cannabis Edibles Investor Pitch Deck TemplateNew 2024 Cannabis Edibles Investor Pitch Deck Template
New 2024 Cannabis Edibles Investor Pitch Deck TemplateCannaBusinessPlans
 
Famous Olympic Siblings from the 21st Century
Famous Olympic Siblings from the 21st CenturyFamous Olympic Siblings from the 21st Century
Famous Olympic Siblings from the 21st Centuryrwgiffor
 
joint cost.pptx COST ACCOUNTING Sixteenth Edition ...
joint cost.pptx  COST ACCOUNTING  Sixteenth Edition                          ...joint cost.pptx  COST ACCOUNTING  Sixteenth Edition                          ...
joint cost.pptx COST ACCOUNTING Sixteenth Edition ...NadhimTaha
 
TVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdf
TVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdfTVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdf
TVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdfbelieveminhh
 
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 AlignAITim Wilson
 
Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...
Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...
Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...daisycvs
 
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 GrowthFalcon investment
 
Structuring and Writing DRL Mckinsey (1).pdf
Structuring and Writing DRL Mckinsey (1).pdfStructuring and Writing DRL Mckinsey (1).pdf
Structuring and Writing DRL Mckinsey (1).pdflaloo_007
 
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 8250092165meghakumariji156
 
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 PROVIDINGpr788182
 
Cracking the 'Career Pathing' Slideshare
Cracking the 'Career Pathing' SlideshareCracking the 'Career Pathing' Slideshare
Cracking the 'Career Pathing' SlideshareWorkforce Group
 

Último (20)

How to Get Started in Social Media for Art League City
How to Get Started in Social Media for Art League CityHow to Get Started in Social Media for Art League City
How to Get Started in Social Media for Art League City
 
PHX May 2024 Corporate Presentation Final
PHX May 2024 Corporate Presentation FinalPHX May 2024 Corporate Presentation Final
PHX May 2024 Corporate Presentation Final
 
Putting the SPARK into Virtual Training.pptx
Putting the SPARK into Virtual Training.pptxPutting the SPARK into Virtual Training.pptx
Putting the SPARK into Virtual Training.pptx
 
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
 
Over the Top (OTT) Market Size & Growth Outlook 2024-2030
Over the Top (OTT) Market Size & Growth Outlook 2024-2030Over the Top (OTT) Market Size & Growth Outlook 2024-2030
Over the Top (OTT) Market Size & Growth Outlook 2024-2030
 
CROSS CULTURAL NEGOTIATION BY PANMISEM NS
CROSS CULTURAL NEGOTIATION BY PANMISEM NSCROSS CULTURAL NEGOTIATION BY PANMISEM NS
CROSS CULTURAL NEGOTIATION BY PANMISEM NS
 
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...
 
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
 
New 2024 Cannabis Edibles Investor Pitch Deck Template
New 2024 Cannabis Edibles Investor Pitch Deck TemplateNew 2024 Cannabis Edibles Investor Pitch Deck Template
New 2024 Cannabis Edibles Investor Pitch Deck Template
 
Famous Olympic Siblings from the 21st Century
Famous Olympic Siblings from the 21st CenturyFamous Olympic Siblings from the 21st Century
Famous Olympic Siblings from the 21st Century
 
joint cost.pptx COST ACCOUNTING Sixteenth Edition ...
joint cost.pptx  COST ACCOUNTING  Sixteenth Edition                          ...joint cost.pptx  COST ACCOUNTING  Sixteenth Edition                          ...
joint cost.pptx COST ACCOUNTING Sixteenth Edition ...
 
!~+971581248768>> SAFE AND ORIGINAL ABORTION PILLS FOR SALE IN DUBAI AND ABUD...
!~+971581248768>> SAFE AND ORIGINAL ABORTION PILLS FOR SALE IN DUBAI AND ABUD...!~+971581248768>> SAFE AND ORIGINAL ABORTION PILLS FOR SALE IN DUBAI AND ABUD...
!~+971581248768>> SAFE AND ORIGINAL ABORTION PILLS FOR SALE IN DUBAI AND ABUD...
 
TVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdf
TVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdfTVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdf
TVB_The Vietnam Believer Newsletter_May 6th, 2024_ENVol. 006.pdf
 
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
 
Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...
Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...
Quick Doctor In Kuwait +2773`7758`557 Kuwait Doha Qatar Dubai Abu Dhabi Sharj...
 
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
 
Structuring and Writing DRL Mckinsey (1).pdf
Structuring and Writing DRL Mckinsey (1).pdfStructuring and Writing DRL Mckinsey (1).pdf
Structuring and Writing DRL Mckinsey (1).pdf
 
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
 
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
 
Cracking the 'Career Pathing' Slideshare
Cracking the 'Career Pathing' SlideshareCracking the 'Career Pathing' Slideshare
Cracking the 'Career Pathing' Slideshare
 

Greeks And Volatility