Portfolio Hedging: Risky Assets vs Safe Havens
The current research tries to identify the best markets to use to hedge positions in two of the most important and liquid risk assets in the world. The present analytics focuses on the most traded equity index in the world, E-Mini S&P500 futures, and the most liquid and traded commodity market: Crude Oil futures (for […]
The Oil Arbitrage: Brent vs WTI
Brent and WTI futures are the most important and traded types of crude oils. Brent and WTI crude grades are quite similar from a chemical standpoint as they are both considered to be light and sweet (which means they have a relatively low amount of carbon atoms). Brent is the global benchmark while WTI is […]
Options Greeks: Delta, Gamma, Vega, Theta, Rho
Options are one of the most important financial derivatives traded on financial exchanges. Options are probably the best risk management derivatives one can use but they tend to be more complex in nature. Options contracts have a payoff which is not linear and the risk associated with the premium of options contracts comes from multiple […]
Options Greeks: Vanna, Charm, Vomma, DvegaDtime
There are multiple options greeks that can be used to look at the potential market risk one needs to manage. The previous research explained how the so-called first order greeks explain the interaction between factors such as changes in underlying prices, volatility and interest rates and options premiums while the present one is going to […]
