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 Feb23 comment Taylor series expansion (Volatility Trading book) explanation sought Thanks. +1 for the effort. I now get the first part of the derivation. I am trying to understand the theta derivation (i.e. derivation wrt time), and how that leads to the final equation presented in 1.3 Feb21 revised Taylor series expansion (Volatility Trading book) explanation sought Added latex formatting Feb21 asked Taylor series expansion (Volatility Trading book) explanation sought Nov30 awarded Yearling Nov28 accepted Calculating portfolio VaR for (custom) leveraged products Nov22 comment Calculating portfolio VaR for (custom) leveraged products Thanks for the link. The assets I am trading are equity, equity indices, commodities and forex. I suspect that for equity (and equity indices), I can model returns using a GBM model?. Regarding implementing f(x), I'm not sure I understand what you mean - could you please clarify what further information you require? Nov22 comment Calculating portfolio VaR for (custom) leveraged products Thanks for the answer. I could do with a little more detail however. In particular, I am not sure which model to use to generate future returns - a suggestion would be helpful. Additionally, I am not sure how to implement f(x). Please clarify. Nov20 comment Calculating portfolio VaR for (custom) leveraged products @BobJansen: My MC fu is a bit rusty. Could you outline the main steps involved if I decide to go the MC route?. I may implement the functionality in a C++ shared library, which I would then use via Excel. Nov20 asked Calculating portfolio VaR for (custom) leveraged products Oct24 awarded Popular Question Aug31 awarded Commentator Aug31 comment Is there any evidence that an option delta approximates ITM expiry probability? Thanks for the clarification. I do recall my maths professor talking about the change of numaire under a R.N measure. Divergence between theory and practise again - I guess a lot of straddle traders are sitting on a time bomb :/. As an aside, its could you explain the first integral? I have not encountered it before. I can understand integrating asset price from K to +inf but it is not clear why you are 'weighting' the probabilities by 1. Also, I don't see how this gives us the delta (sorry, been a while since I took calculus ;) ) Aug31 asked Multi asset option portfolio risk management (greeks and FX exposure) Aug31 asked Is there any evidence that an option delta approximates ITM expiry probability? Jul31 accepted How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices? Jul30 revised Interpreting QuantLlib implied volatility numbers added 58 characters in body Jul30 asked Interpreting QuantLlib implied volatility numbers May27 revised Historical volatility from close prices (Haug pg 166) deleted 229 characters in body May27 asked Historical volatility from close prices (Haug pg 166) May10 comment VaR implementation using quantlib? +1 for the link. I'll download it and take a look at it for some ideas. As an aside, our portfolios are largely non-linear, we trade options almost exclusively, but I hope your codebase could be a useful starting point. Thanks