What's new

Recent content by [email protected]

1. Gamma Exposure

Hi David, Thank you so much for the quick reply. Please look at my delta and gamma results Delta Gamma 0.50025 1.643934 0.50015 4.647395 0.500234 2.325189 These are all at the money options but the gamma's are unreasonably high. I am using finite...
2. Gamma Exposure

Hi David, I get when you calculate Delta Exposure you use = delta of the position * quantity However, when you calculate gamma exposure why do you divide the result by 100 = (gamma of position * quantity)/100 The gamma and delta are direct output from kirk spread approximation.
3. Can gamma of an option be greater than 1?

Hi, I am beating my head around this. I have seen certain atm options whenre Gamma is greater than 1? I felt if delta is bounded between 0 and 1, so should gamma?
4. Exam Feedback May 2017 Part 2 Exam Feedback

what was the cvar answer? anybody remember?
5. Exam Feedback May 2017 Part 2 Exam Feedback

i first calculated the market value of the bond using long treasury bond and short put option. which came to someway around 178. usin the credit spread formula i used this value to get spread of 331 basis
6. Exam Feedback May 2017 Part 2 Exam Feedback

i do feel there were lot of D and A
7. Exam Feedback May 2017 Part 2 Exam Feedback

I made a stupid mistake. for all the questions i answered in two columns. like i circled the answer and as well wrote in the column ( which is supposed to be only used if you change your answer). would this create a problem?
8. Practise exam scores

Hi guys I m just nervous about my part 2 exam next week.I donno if its the rights place but I tried the Schweser practicse exams and i got 76.5 and 72.5 respectively. Do you all think I will clear the exam
9. Whatsapp 2016 FRM Part 2 Group (Inactive)

Hi guys I m just nervous about my part 2 exam next week.I donno if its the rights place but I tried the Schweser practicse exams and i got 76.5 and 72.5 respectively. Do you all think I will clear the exam
10. Exam Feedback November 2016 Part 1 Exam Feedback

ya right. what was the answer?
11. Exam Feedback November 2016 Part 1 Exam Feedback

ya i got 139 as there were only 7 observations i used n-1
12. Exam Feedback November 2016 Part 1 Exam Feedback

it was 0.07 as it was a small sample the denominator would be n-1 rather than n
13. Exam Feedback November 2016 Part 1 Exam Feedback

regarding the bullet barbell portfolio the answer is convexity of barbell is greater. does anyone remember the answer to credit risk of credit card ? dont remember the exact question