The Greeks And Hedging Explained by Peter Leoni
A concise, practitioner-oriented guide to option risk sensitivities and their use in building and maintaining hedges across both vanilla and exotic books. It explains delta, gamma, vega, theta, rho, and higher-order Greeks with clear intuition and minimal math, then applies them to dynamic hedging, P&L attribution, and risk management under discrete rebalancing, transaction costs, and model uncertainty. Realistic examples address volatility smiles and skews, vanna and volga, cross-gamma, correlation and forward risks, stress testing, and common pitfalls, providing practical tools for traders and risk managers.
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- Published
- 2011
- Nationality
- Unknown
- Length
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- Pages
- Unknown
- Original Language
- English
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