delta-gamma
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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- Nicole Seaman
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- delta-gamma taylor-series
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- Forum: P1.T4. Valuation & Risk Models