Delta Hedging and the Greeks

In course

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Description

This lecture covers the Black-Scholes-Merton model for pricing derivatives, wealth dynamics, replication strategies, valuation partial differential equations, risk-neutral measures, the BSM formula, put-call parity, the Greeks (Delta, Gamma, Theta, Vega), market conventions, and dynamic hedging. It also discusses the relationship between the value of a portfolio and its greeks, hedging errors, engineering exposure, and (0, A)-hedging.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_fb1fh1yh

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