Beyond delta hedging

02/26/2016 - 15:30
02/26/2016 - 16:30
Speaker: 
Frédéric Godin, Université Laval
Location: 
2920, Chemin de la tour, Montréal Pavillon André-Aisenstadt, Université de Montréal, AA-5340
Abstract: 

 Industry best practices for the hedging of derivatives consist in neutralizing the Greek letters of a derivatives portfolio. Delta hedging which is extensively used in practice is a specific case of this approach. However, many alternative methodologies to hedge derivatives were developed in the literature. The aim of the presentation is to give an overview of those alternative methods which can be used to increase the performance of hedges in terms of risk reduction.

Last edited by on Thu, 02/18/2016 - 14:51