# Tag Info

### Mark Joshi's book - quant interview questions

For large values of the spot S, this payout goes to infinity like the square of S. However, the hedging instruments available are vanilla options, which go like S to the first power. Mathematically, ...
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### How to gamma hedge and vega hedge an autocallable product?

Well, it's a topic which actually should have its own book dedicated. Unfortunately, existing literature is rare or not practical enough. Let me at least try to provide some key ideas and challenges ...
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### What really is Gamma scalping?

As long as you live in a world where implied and realized vol are the same, there is no net profit (or loss) from gamma scalping. However, if they are different, then you make a gain or loss which is ...
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### How to adjust delta hedging if stock price decreases?

You are long a vanilla option, so long gamma (positive gamma). If the stock price decreases, so does the delta of your option. Since you short-sold the stock to hedge, you now have short-sold too ...
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Accepted

### How to adjust delta hedging if stock price decreases?

You would be over hedged in your call position if it was delta neutral before the stock cratered. Since you are long delta on the call, you would have shorted stock to make the original position ...
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### Hedging a trade for PCA component neutrality

Simple Directionality Spread Trade Hedge If the sum of the risks of the trade $t$ are zero (as in the case of the 2Y5Y10Y spread trade) that immediately gives a starting point from which to make a ...
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### Static vs Dynamic Hedging: when is each one used?

It depends a little bit what you're trying to do. If you can statically replicate the payoff of a position at $t=0$, then putting on that hedge will insulate you from all risk coming from the ...
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### What are some interesting recent machine learning related developments in the QF domain?

Sirignano, J., & Cont, R. (2019) (High-frequency stock forecasting): The authors apply a large-scale deep learning model (recurrent neural network with Long Short-term Memory units) to high-...
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