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I am interested in getting a good "feel" or intuition for the BSM Greeks. Specifically, i'm looking for a book which is light on the math (but not too light) and easy to read and understand. I am also a visual person so a book which shows graphically the greek surfaces for instance (E.g. Delta vs time and moneyness, Vega vs time and moneyness) would be valuable for me. I am also interested in learning how I can use the Greeks to structure different trades.

I know that it is highly unlikely that one book will have all the answers, having said this, i'd be keen to hear everyone's thoughts and comments. Cheers.

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    $\begingroup$ Google "know your weapon" by espen haug. $\endgroup$ – will Jul 4 at 21:24
  • $\begingroup$ Thanks @will - i've got both parts 1 and 2 now. Appreciate the suggestion. $\endgroup$ – charm93 Jul 5 at 2:53
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The Greeks chapter in Hull’s Options, Futures, and other derivatives book would be a good start if you have not read Hull’s.

The Greeks and Hedging Explained by Peter Leoni is also very accessible and provides good coverage of the concepts.

And if you prefer the traders style then you might like Taleb’s Dynamic Hedging. The title makes it sound technical but it is really rules of thumbs with intuition.

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    $\begingroup$ Cheers mate - while I respect Taleb, from what I've seen on this forum and elsewhere Dynamic Hedging is a tough read (will give it a read though). Haven't heard of the Leoni book but will have a look, and I've used the Hull book for my undergrad derivs course so will give this a look again also. $\endgroup$ – charm93 Jul 5 at 3:51
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    $\begingroup$ +1 for Peter Leoni, I found it wonderful $\endgroup$ – nimbus3000 Jul 5 at 13:16
  • $\begingroup$ Glad to hear it! $\endgroup$ – Magic is in the chain Jul 5 at 16:19

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