convexity

1. YouTube T5-08: Convexity and risk premium impacts on shape of term structure

In this video, I'm going to try to illustrate all of the important ideas that are in Tuckman's Chapter 8: The Evolution of Short Rates and the Shape of the Term Structure. This chapter discusses the shape of the term structure and the key influences on the shape of the spot rate term structure...
2. YouTube T4-42: Fixed Income: Duration and Convexity Summary

In this playlist, David has already recorded at least ten videos on duration and convexity which are the two most common measures of single-factor interest rate risk. So, in this video, we wrap it up in one simple explanation that tries to illustrate both duration and convexity and how we apply...

12. Short convexity/ gamma

Just thought I would like to share how you actually loose money regardless of the direction of the underlying when you are short gamma (or convexity) by shorting an option. ∆a be the underlying shares (or bonds whatever) we know convexity as ∆a+ 1/2 Г a^2 Thus, our net position will be ∆a -...