What's new

# delta-gamma

1. ### 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