Introduction to Option Greeks and Risk Management

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In this video, I will give an introduction to option greeks and risk management of options.
I will define the major first and second order Greeks in Black-Scholes model: theta, delta, vega, rho, gamma, vanna, volga (vomma), charm and I will explain through a simple example how they can be used for the risk management of an option portfolio.

0:00 Introduction
0:19 Option P&L Attribution
0:59 P&L Attribution and Greeks
3:26 Greeks and Risk Management
3:57 Example - Delta and Vega Risk Management

#optionpricing, #quantitativefinance, #financeeducation, #derivatives, #quant, #quantnext

[mhrvth]

That was the best explanation of the greeks I've ever seen. Simple, clear, straight to the point. Same for the volatility smile and other videos.