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delta-gamma

  1. Nicole Seaman

    YouTube T4-04: Delta-gamma value at risk (VaR) with the Taylor Series Approximation

    The Taylor Series lets us approximate a smooth function with a polynomial. Here we apply it to both an option position (where the second term captures gamma) and a bond position (where the second term captures convexity) David's XLS is here: https://trtl.bz/2rlVj7H
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