Mar 29 (edited) in Outlooks & Research Reports
Quantitative Strategies Notes by Goldman Sachs - Trading and Hedging Local Volatility
These note outline a methodology for hedging and trading index volatilities.
Topics Covered :-
- Implied and Local Volatilities
- Analogy Between Local Volatilities and Forward Rates
- Gadgets for Interest Rates
- Hedging Against Forward Rate Changes
- Hedging Local Volatilities
- An Example Using Finite Volatility Gadgets
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Quantitative Strategies Notes by Goldman Sachs - Trading and Hedging Local Volatility
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