ГРЪЦКИТЕ БУКВИ И УПРАВЛЕНИЕ НА РИСКА НА ДЕРИВАТИВНИ ИНСТРУМЕНТИ
GREEKS AND DERIVATIVE PRODUCTS’ RISK MANAGEMENT

Author(s): Sava Hristov Dimov
Subject(s): Economy
Published by: Бургаски свободен университет
Keywords: The Key Greeks; Derivatives; Risk Management; Volatility; Binomial Model; Black-Scholes-Merton Model; Monte Carlo Simulations; Options Strategies; Long Call, Short Call; Bull Spread; Bear Spread; Long
Summary/Abstract: This article is focused on a detailed study of the Greeks and their use in risk management of derivatives (mainly options’ sensitivity). The importance of derivatives and risk management in the field of finance is briefly explained. These products influence significantly both on institutional (banks and financial organizations) and corporate (business investment) level. However, these products turn out to be one of the most difficult to assess and manage and in the article are presented some methods, which simplify these processes. All theoretical explanations rely on numerical examples in order to demonstrate the practical application of the methods and tools studied.

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