Risk & Greeks
Delta, Gamma, Vega ladders, and scenario analysis — with actual computation, P&L attribution, model risk quantification, and VaR/ES.
4 modules~87 min total
Prerequisites
Derivatives Pricing (or Black-Scholes fundamentals)Basic probability
Modules
01
Analytical Greeks for European Options
MediumRisk & GreeksBlack-ScholesGreeksP&L Decomposition
22 min
02
Numerical Differentiation and Bump-Reval
MediumRisk & GreeksNumerical MethodsBump-RevalComplex-Step Differentiation
18 min
03
Portfolio Greeks Aggregation
HardRisk & GreeksPortfolio RiskVega LadderVannaVolga
22 min
04
Stressed Scenarios and Model Risk
HardRisk & GreeksScenario AnalysisModel RiskP&L AttributionVaR
25 min