Trader A has built some hefty PnL, In the meantime Trader B comes out with almost nothing in the slightest degree and his skipped out on volatility in the investing day which he could've profited off of experienced he been continuously hedging instead of just once each day.

Even so, the existence of considerable autocorrelation inside the return method would hint that we can trade utilizing futures/linear items on the intraday horizon which would probably (after accounting for liquidity and theta) verify far more worthwhile to trade than the delta hedging strategy.

The above variance I alternatively see as follows: whenever we re-make investments/re-borrow at $t_1$ to produce equally solutions agree we make the "function situation" self-funding. In contrast, your company opts to Allow intermediate gains/losses fall out. There may be explanations for this. Probably it's a way to work out taxes? I do not know. $endgroup$

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El reencuadre de PNL nos pone en el papel de un viudo evitando el dolor del duelo dando un salto hacia una relación con una mujer más joven, sin detenerse para decir un adiós apropiado a su esposa muerta".

$begingroup$ I am not sure what you necessarily mean by "cross" outcomes - the sole correlation is that they both of those are features in the change in fundamental ($Delta S$)

You should use the earnings assertion to compute many metrics, including the gross income margin, the functioning revenue margin, the net earnings margin, plus the functioning ratio.

The implied volatility surface and the option Greeks - to what extent is the data contained of their daily movements the same? 4

Column five: Effects of rates – Here is the adjust in the worth of a portfolio resulting from modifications in commodity or fairness/inventory rates

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En una adicción o un mal comportamiento siempre hay una intención positiva, por tanto encontrando la raíz de ese problema y exteriorizando la intención positiva, se puede pasar de fumar durante 15 años a no tener esa necesidad.

As pnl it is the pnl of the hedge that offsets the choice high quality. You should disregard variations because of periodic vs continuous for this problem. $endgroup$

The next time period is due to your improve in curiosity rate. $varepsilon$ is actually what You can not describe. If all the things is neat, your $varepsilon$ shouldn't be too substantial. You may as well see that this may be very close to a Taylor growth when all the things is linear, Which explains why You may use your duration as an approximation for that 2nd term.

1 $begingroup$ @KaiSqDist: that would be Yet another dilemma. The approximation here is connected to the understood volatility. $endgroup$