1. M

    Taylor series approximation - why does it overstate a long call/put option VaR?

    As the title says, could somebody please explain why the Taylor series approximation overstates a long call/put option VaR and vice versa for the short option position? I'm revising through the chapters and realised I forgot how this is meant to work! Thanks all!
  2. Nicole Seaman

    YouTube T4-04: Delta-gamma value at risk (VaR) with the Taylor Series Approximation

    The Taylor Series lets us approximate a smooth function with a polynomial. Here we apply it to both an option position (where the second term captures gamma) and a bond position (where the second term captures convexity) David's XLS is here: https://trtl.bz/2rlVj7H
  3. Branislav

    Hull, Instructional video , ch4 -Duration

    Dear David, Thanks a lot for video lectures they are much inspiring Still I was little bit confused with all these different names duration, modified duration, Macauly duration,.. etc...I will shortly examine mine view of this and kindly ask you to comment ( but without laughing:)) According to...
  4. N

    Taylor Series Approximation

    Hi David Last one from me until the next weekend. With regard to the Taylor series of approximation, are we supposed to be able to calculate that on the exam? I am conscious that it involves cumbersome calculations, etc... Kind regards N