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An Option Greeks Primer Jawwad Farid

An Option Greeks Primer By Jawwad Farid

An Option Greeks Primer by Jawwad Farid


$182.89
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Summary

This book provides a hands-on, practical guide to understanding derivatives pricing. Aimed at the less quantitative practitioner, it provides a balanced account of options, Greeks and hedging techniques avoiding the complicated mathematics inherent to many texts, and with a focus on modelling, market practice and intuition.

An Option Greeks Primer Summary

An Option Greeks Primer: Building Intuition with Delta Hedging and Monte Carlo Simulation using Excel by Jawwad Farid

This book provides a hands-on, practical guide to understanding derivatives pricing. Aimed at the less quantitative practitioner, it provides a balanced account of options, Greeks and hedging techniques avoiding the complicated mathematics inherent to many texts, and with a focus on modelling, market practice and intuition.

About Jawwad Farid

Jawwad Farid has been building and implementing risk models since August 1998. Working with clients on four continents, he helps bankers, board members and regulators take a market-relevant approach to risk management. He is the founder of Alchemy Technologies, a risk consulting practice, and writes about risk and treasury products at FinanceTrainingCourse.com.

Jawwad's expertise includes investment management, product development and risk models. He has advised multiple due diligence teams on risk assessment in banking and insurance sectors, set up FX and commodity hedging desks, built fair value models for illiquid securities for FAS 157 disclosures, and helped a US$3 billion life insurance fund on allocation and bid patterns for 20- and 30-year bonds, ALM mismatch and fixed income strategy.

He has worked with the securities and banking regulator and the Asian Development Bank on assessing the state of the corporate bond market as well as issuing valuation opinions on cross currency swaps, participating forwards and contingent liabilities for Exchange Guarantee Funds in the region.

Jawwad is a Fellow Society of Actuaries (Schaumburg, IL), holds an MBA from Columbia Business School, and is a computer science graduate (NUCES FAST). He is an adjunct Faculty member at the SP Jain Global School of Management in Dubai and Singapore, where he teaches Risk Management, Derivative Pricing, Project Finance and Entrepreneurship.

Table of Contents

PART I: REFRESHER 0. Notation and Terminology 1. Delta and Gamma PART II: DELTA HEDGING 2. A Simulation Model for Delta Hedging - European Call Options 3. Delta Hedging European Put Options 4. Calculating Cash P&L for a Call Option 5. Calculating Cash P&L for a Put Option PART III: BUILDING SURFACES IN EXCEL 6. Understanding Volatility 7. Building Volatility Surfaces 8. Forward Implied Volatilities PART IV: HEDGING HIGHER ORDER GREEKS 9. Vega, Volga & Vanna 10. Hedging Higher Order Greeks 11. Reviewing the Solver Solution PART V: APPLICATIONS 12. Rebalancing, Implied Vol & Rho 13. Understanding Theta 14. Option Prices and Time to Expiry

Additional information

NLS9781349475728
9781349475728
1349475726
An Option Greeks Primer: Building Intuition with Delta Hedging and Monte Carlo Simulation using Excel by Jawwad Farid
New
Paperback
Palgrave Macmillan
2015-01-01
246
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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