Option Greeks Primer

Trading requires a combination of intuition, discipline and process. Of the three intuition is the most difficult to teach, since discipline and process is an incentives and control game. While individual intuition can be built over years of experience there are tools that make it easier to pick up and transfer intuition faster. Furthermore, a lack of intuition and over-reliance on computational schemes is considered one of the key contributors to the financial crisis. This book provides a hands-on, practical guide to option pricing, delta hedging and Greeks, with a focus on intuition. Written by an experienced consultant and trainer, it is written for the many practitioners who need to understand pricing and valuation models, but lack the PhD necessary to penetrate much of the current literature. Written in accessible language, the book first builds up a foundation of knowledge on basic quantitative finance concepts, before moving on to explain advanced topics and approaches for pricing of financial instruments such as options, and the Greeks (Theta, Vega, Rho etc). The book will appeal to many in the investment banking arena, from the traders, structurers and risk managers, for whom the pricing of derivatives contracts is one of many skills needed on a daily basis, to sales and capital markets divisions who need a thorough but not highly quantitative understanding of their products.