1
-
2
of
2
results (0.47 seconds)
Sort By:
-
Residual Risk When Hedging Delta and Rho of Equity Options
trades was made. This was tested as a range around 17 percent volatility and also tested as a range around ... rates, the average cost of hedging corresponds to 17 percent volatility. If interest rates are levelized ...- Authors: Mark Evans
- Date: Mar 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Enterprise Risk Management>Capital markets; Finance & Investments>Derivatives
-
More Techniques For Better Attributions
2175 0.0043 39.5455 0.342720 0.001974 -77.863995 1/17/2008 1333.25 0.451745 -13.6917 1.5751 -0.2132 -0 ... -81.960049 FEBRUARY 2014 RISKS AND REWARDS | 17 The following table shows the daily attribution ...- Authors: Mark Evans
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Estimation methods