Delta-Gamma Neutral Self Financing

Hmm, LOL, this does look like his homework assignment.

You rarely state time to maturity as .25 or .5. At least, I know I think in terms of days to expiration, not ".25 years to maturity"
 
Quote from eagertolearn:

Any references for how you got those figures?
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High school algebra. I just know how to solve an underdetermined system of equations. Let me see if I can find a reference on the net.

nitro
 
Here is the idea:

http://www.ualberta.ca/dept/math/gauss/fcm/calculus/multvrbl/basic/ImplctFnctns/ovrdtrmnd_exmpl.htm

but you want it in matrix form, so:

http://home.ubalt.edu/ntsbarsh/Business-stat/otherapplets/SysEq.htm

I just looked for anything. I don't know if those are clear or not.

The subject matter is Linear Algebra,

http://en.wikipedia.org/wiki/Linear_algebra

which is a sub-subject of Abstract Algebra [why it is called "abstract" is a huge story in itself. A fantastic book on this is http://www.amazon.com/Artist-Mathem...9041569?ie=UTF8&s=books&qid=1179065604&sr=8-1 but the book is very tedious].

http://en.wikipedia.org/wiki/Abstract_algebra

Which are a sub-subject of ......

nitro

PS, probably my favorite subject in the world [but on the frontier of mathematical research] is

http://en.wikipedia.org/wiki/Algebraic_geometry and how it relates to this program: http://en.wikipedia.org/wiki/Langlands_program
 
Quote from nitro:

Whoops, 6190 shares.

Sorry, typo.

nitro :(
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Nitro , in this case position still loses around 150k .
For one that trades future vols increase on daily bases , I'm very interested to see how others traders can solve this equation without rate of speed ( info , which OP choose to ignore when I asked him).
 
You can't construct a passive position which maintains neutral gammas. There is nothing to solve algebraically; you can't isolate vega without a continuous hedge.

IV: dgamma/dspot isn't necessary. The OP is looking for something that doesn't exist.
 
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