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DER 07 Managing risk dynamically

With the ability to measure risk, we create the ability to manage risk through time.

  • Required reading

    • Whaley, 2006, Ch. 10, Risk management strategies: Options (pp. 347-362)

    • Saletta 20210128 What is a gamma squeeze? The Motley Fool.


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.

  • Lecture notes

    • Slides

    • Supporting files​

      • Ted Turner collar valuation.xlsx

      • Earning embedded fee dynamically.xlsx

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