Week 1 15th May 2021?

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Week 2 22 May 2021

Week 3 29 May 2021

Week 4 5 June , 2021

Week 5 12 June 2021

Week 6 19 June 2021

Week 7 26 June 2021

Week 8 10 July 2021

Week 9 17 July 2021

Week 10 24 July 2021

Week 11 31 July 2021

Week 12 7 August 2021

Week 13 14 August 2021

Week 14 21 August 2021

Week 15 28 August 2021

Book 1 Fundamentals of Risk Management

Book 3 Financial Markets and Products

Book 4 Valuation and Risk Models

C16 Option Sensitivity Measures: Greeks
  • Describe and assess the risks associated with naked and covered option positions.
  • Describe the use of a stop loss hedging strategy, including its advantages and disadvantages, and explain how this strategy can generate naked and covered option positions.
  • Describe delta hedging for options as well as for forward and futures contracts.
  • Compute the delta of an option.
  • Describe the dynamic aspects of delta hedging and distinguish between dynamic hedging and hedge-andforget strategies.
  • Define and calculate the delta of a portfolio.
  • Define and describe theta, gamma, vega, and rho for option positions and calculate the gamma and vega for a portfolio.
  • Explain how to implement and maintain a delta-neutral and a gamma-neutral position.
  • Describe the relationship between delta, theta, gamma, and vega.
  • Describe how portfolio insurance can be created through option instruments and stock index futures.
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