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DER 07 Managing risk dynamically
With the ability to measure risk, we create the ability to manage risk through time.
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Required reading
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Whaley, 2006, Ch. 10, Risk management strategies: Options (pp. 347-362)
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Saletta 20210128 What is a gamma squeeze? The Motley Fool.
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Lecture notes
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Supporting files
EARNING EMBEDDED CONTRACT FEES
The terms of OTC contracts are often written in such a way that there is no obvious cost. The fees charged by the dealer are embedded. The embedded fees can be deduced using techniques such as Monte Carlo simulation.
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Required reading
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Lecture notes
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Supporting files
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Ted Turner collar valuation.xlsx
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Earning embedded fee dynamically.xlsx
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