SlideShare una empresa de 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]

Más contenido relacionado

Similar 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
 

Similar 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
 

Más 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
 

Más 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

Insurers' journeys to build a mastery in the IoT usage
Insurers' journeys to build a mastery in the IoT usageInsurers' journeys to build a mastery in the IoT usage
Insurers' journeys to build a mastery in the IoT usageMatteo Carbone
 
Cracking the Cultural Competence Code.pptx
Cracking the Cultural Competence Code.pptxCracking the Cultural Competence Code.pptx
Cracking the Cultural Competence Code.pptxWorkforce Group
 
Mondelez State of Snacking and Future Trends 2023
Mondelez State of Snacking and Future Trends 2023Mondelez State of Snacking and Future Trends 2023
Mondelez State of Snacking and Future Trends 2023Neil Kimberley
 
Mysore Call Girls 8617370543 WhatsApp Number 24x7 Best Services
Mysore Call Girls 8617370543 WhatsApp Number 24x7 Best ServicesMysore Call Girls 8617370543 WhatsApp Number 24x7 Best Services
Mysore Call Girls 8617370543 WhatsApp Number 24x7 Best ServicesDipal Arora
 
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
 
Call Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service Available
Call Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service AvailableCall Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service Available
Call Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service AvailableSeo
 
Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...
Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...
Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...Sheetaleventcompany
 
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 Presentationuneakwhite
 
Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...
Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...
Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...Sheetaleventcompany
 
Call Girls In Noida 959961⊹3876 Independent Escort Service Noida
Call Girls In Noida 959961⊹3876 Independent Escort Service NoidaCall Girls In Noida 959961⊹3876 Independent Escort Service Noida
Call Girls In Noida 959961⊹3876 Independent Escort Service Noidadlhescort
 
It will be International Nurses' Day on 12 May
It will be International Nurses' Day on 12 MayIt will be International Nurses' Day on 12 May
It will be International Nurses' Day on 12 MayNZSG
 
Phases of Negotiation .pptx
 Phases of Negotiation .pptx Phases of Negotiation .pptx
Phases of Negotiation .pptxnandhinijagan9867
 
B.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptx
B.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptxB.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptx
B.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptxpriyanshujha201
 
The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...
The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...
The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...Aggregage
 
FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756
FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756
FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756dollysharma2066
 
Business Model Canvas (BMC)- A new venture concept
Business Model Canvas (BMC)-  A new venture conceptBusiness Model Canvas (BMC)-  A new venture concept
Business Model Canvas (BMC)- A new venture conceptP&CO
 
Falcon's Invoice Discounting: Your Path to Prosperity
Falcon's Invoice Discounting: Your Path to ProsperityFalcon's Invoice Discounting: Your Path to Prosperity
Falcon's Invoice Discounting: Your Path to Prosperityhemanthkumar470700
 

Último (20)

Insurers' journeys to build a mastery in the IoT usage
Insurers' journeys to build a mastery in the IoT usageInsurers' journeys to build a mastery in the IoT usage
Insurers' journeys to build a mastery in the IoT usage
 
Cracking the Cultural Competence Code.pptx
Cracking the Cultural Competence Code.pptxCracking the Cultural Competence Code.pptx
Cracking the Cultural Competence Code.pptx
 
Mondelez State of Snacking and Future Trends 2023
Mondelez State of Snacking and Future Trends 2023Mondelez State of Snacking and Future Trends 2023
Mondelez State of Snacking and Future Trends 2023
 
Mysore Call Girls 8617370543 WhatsApp Number 24x7 Best Services
Mysore Call Girls 8617370543 WhatsApp Number 24x7 Best ServicesMysore Call Girls 8617370543 WhatsApp Number 24x7 Best Services
Mysore Call Girls 8617370543 WhatsApp Number 24x7 Best Services
 
(Anamika) VIP Call Girls Napur Call Now 8617697112 Napur Escorts 24x7
(Anamika) VIP Call Girls Napur Call Now 8617697112 Napur Escorts 24x7(Anamika) VIP Call Girls Napur Call Now 8617697112 Napur Escorts 24x7
(Anamika) VIP Call Girls Napur Call Now 8617697112 Napur Escorts 24x7
 
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
 
Call Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service Available
Call Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service AvailableCall Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service Available
Call Girls Ludhiana Just Call 98765-12871 Top Class Call Girl Service Available
 
Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...
Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...
Chandigarh Escorts Service 📞8868886958📞 Just📲 Call Nihal Chandigarh Call Girl...
 
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
 
VVVIP Call Girls In Greater Kailash ➡️ Delhi ➡️ 9999965857 🚀 No Advance 24HRS...
VVVIP Call Girls In Greater Kailash ➡️ Delhi ➡️ 9999965857 🚀 No Advance 24HRS...VVVIP Call Girls In Greater Kailash ➡️ Delhi ➡️ 9999965857 🚀 No Advance 24HRS...
VVVIP Call Girls In Greater Kailash ➡️ Delhi ➡️ 9999965857 🚀 No Advance 24HRS...
 
Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...
Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...
Call Girls Zirakpur👧 Book Now📱7837612180 📞👉Call Girl Service In Zirakpur No A...
 
Call Girls In Noida 959961⊹3876 Independent Escort Service Noida
Call Girls In Noida 959961⊹3876 Independent Escort Service NoidaCall Girls In Noida 959961⊹3876 Independent Escort Service Noida
Call Girls In Noida 959961⊹3876 Independent Escort Service Noida
 
It will be International Nurses' Day on 12 May
It will be International Nurses' Day on 12 MayIt will be International Nurses' Day on 12 May
It will be International Nurses' Day on 12 May
 
Phases of Negotiation .pptx
 Phases of Negotiation .pptx Phases of Negotiation .pptx
Phases of Negotiation .pptx
 
B.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptx
B.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptxB.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptx
B.COM Unit – 4 ( CORPORATE SOCIAL RESPONSIBILITY ( CSR ).pptx
 
The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...
The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...
The Path to Product Excellence: Avoiding Common Pitfalls and Enhancing Commun...
 
FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756
FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756
FULL ENJOY Call Girls In Majnu Ka Tilla, Delhi Contact Us 8377877756
 
Business Model Canvas (BMC)- A new venture concept
Business Model Canvas (BMC)-  A new venture conceptBusiness Model Canvas (BMC)-  A new venture concept
Business Model Canvas (BMC)- A new venture concept
 
Falcon's Invoice Discounting: Your Path to Prosperity
Falcon's Invoice Discounting: Your Path to ProsperityFalcon's Invoice Discounting: Your Path to Prosperity
Falcon's Invoice Discounting: Your Path to Prosperity
 
Falcon Invoice Discounting platform in india
Falcon Invoice Discounting platform in indiaFalcon Invoice Discounting platform in india
Falcon Invoice Discounting platform in india
 

Greeks And Volatility