option sensitivities
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PnL Explained — also called P L Explain, P L Attribution or Profit and Loss Explained is a type of report commonly used by traders, especially derivatives (swaps and options) traders, that attributes or explains the daily fluctuation in the value of a portfolio… … Wikipedia
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Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
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Bond convexity — In finance, convexity is a measure of the sensitivity of the duration of a bond to changes in interest rates, the second derivative of the price of the bond with respect to interest rates (duration is the first derivative). In general, the higher … Wikipedia
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