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3 votes

Why are Black-Scholes derived greeks used for risk management when alternatives exist?

I do not agree with the answer by @river_rat. SABR greeks (the so-called Bartlett delta and vega) are used by practitioners in Interest Rates trading from my own experience. In general you want your ...
Hasek's user avatar
  • 814
1 vote

Why are Black-Scholes derived greeks used for risk management when alternatives exist?

Pick your poison, what is better? A simple model that is wrong or a complicated model that is also wrong. Add to that computation time on large portfolios and the simplicity of a closed form Black-...
river_rat's user avatar
  • 970
1 vote

Market-Making stocks with random inventory exposure

A market is made for a particular point in time. A change in inventory is a piece of information that can be input into a pricing model to update the market that is being made. If a pricing model has ...
acenturyandabit's user avatar
0 votes

Market-Making stocks with random inventory exposure

I'm not sure that's the correct way to view the clients of the CFD broker. You say: The CFD broker has 0 control over how their clients choose to trade but that's really the same as any other market ...
acenturyandabit's user avatar

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