Risk Management

George Constantinides

Chapter 11 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 161-178 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionDeltaGammaVegaThetaRhoGreeks for Forward and Futures ContractsGeneral Approach to Risk ManagementRobustness of the Delta-HedgeThe Money PumpRelation between Delta, Gamma, and ThetaValue at Risk

Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
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