Farid, An Option Greeks Primer: Building Intuition with Delta Hedging and Monte Carlo Simulation using Excel (Global Financial Markets)

Palgrave Macmillan, 2015. — 246 p. — Global Financial Markets. — ISBN10: 1137371668.About the bookTrading requires a combination of intuition, discipline and process. Of the three, intuition is the most difficult to teach. 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 delta hedging and Greeks, with a focus on intuition. Written by an experienced consultant, teacher and trainer, it is written for the many practitioners who need to understand the myriad relationships between options Greeks but lack the Ph.D. necessary to penetrate much of the current literature. Written in accessible language, the book builds up a foundation of knowledge on basic quantitative finance concepts, before moving on to explain advanced topics and approaches for Delta, Gamma, Vega, Vanna, Volga, Theta and Rho. Using an Excel based Delta Hedging simulation model the book examines the impact of Greeks on option trading P&L and shows how to hedge higher order Greeks and build volatility surfaces.The book will appeal to many in the investment banking arena, from traders and risk managers, to sales and marketing teams within capital markets and FICCs groups who need a thorough but not overly quantitative understanding of option Greeks.Jawwad Farid has been building and implementing risk models since August 1998. Working with clients on four continents, he helps bankers, board members and regulators take a market-relevant approach to risk management. He is the founder of Alchemy Technologies, a risk consulting practice, and writes about risk and treasury products at FinanceTrainingCourse.com.Jawwad's expertise includes investment management, product development and risk models. He has advised multiple due diligence teams on risk assessment in banking and insurance sectors, set up FX and commodity hedging desks, built fair value models for illiquid securities for FAS 157 disclosures, and helped a US$3 billion life insurance fund on allocation and bid patterns for 20- and 30-year bonds, ALM mismatch and fixed income strategy.He has worked with the securities and banking regulator and the Asian Development Bank on assessing the state of the corporate bond market as well as issuing valuation opinions on cross currency swaps, participating forwards and contingent liabilities for Exchange Guarantee Funds in the region.Jawwad is a Fellow Society of Actuaries (Schaumburg, IL), holds an MBA from Columbia Business School, and is a computer science graduate (NUCES FAST). He is an adjunct Faculty member at the SP Jain Global School of Management in Dubai and Singapore, where he teaches Risk Management, Derivative Pricing, Project Finance and Entrepreneurship.