# [Financial Engineering] Two Versions of Delta Hedging

As we did last time, delta hedging is a powerful tool in replicating a derivative portfolio. In this session, we are rethinking what we have done so far and implementing two versions of the delta hedging. The final answers should be the same because we are going to the same thing but with different perspectives.

In the beginning, my position is 0, and as soon as day 1 starts, I can get my delta. So I need to buy

(Δ₀–0) S₀ + (Δ₁ — Δ₀) S₁ + (Δ₂ — Δ₁) S₂ + … + (δ — Δ₋₂) S₋₁+ (Δ — Δ₋₁) S

--

--

# [Financial Engineering] Delta Hedging

이번 시간에는 델타 헷징에 대하여 이야기 해 보겠습니다.

우선 델타가 무엇인지를 알아야겠죠. 델타는 주어진 옵션 포지션을 헷지하기 위해서 취해야 하는 기초자산의 개수를 의미합니다.

예를 들어 보겠습니다.

콜옵션 1개를 팔고 델타값을 계산해 보면 0과 1사이의 숫자, 예를 들어, 0.54가 나옵니다. 이 0.54가 콜옵션의 short position을 헷지하기 위해 내가 취해야 하는 기초자산의 position입니다. 즉, 주식을 0.54개 만큼 가지고 있으면 됩니다.

--

--

# [Datacamp] Python Data Science Toolbox (Part 1) — Writing your own functions

1. User-defined functions (video)

2. Strings in Python (exercise)

3. Recapping built-in functions (exercise)

4. Write a simple function

5. Single-parameter functions

6. Functions that return single values

7. Functions with multiple parameters

8. A brief introduction to tuples

9. Functions that return multiple values

--

--

# [Datacamp] Intermediate Python — Loops

1 while loop (video)

2. while: warming up (exercise)

3. Basic while loop

5. for loop (video)

6. Loop over a list

7. Indexes and values (1)

8. Indexes and values (2)

9. Loop over a list of lists

--

--

# [Datacamp] Intermediate Python — Logic, Control Flow and Filtering

1. Comparison Operators (video)

2. Equality

3. Greater and less than

4. Compare arrays

5. Boolean Operators (video)

6. and, or, not (1)

7. and, or, not (2) (exercise)

8. Boolean operators with Numpy

9. if, elif, else

10. Warmup (exercise)

11. if

--

--

# [Datacamp] Intermediate Python — Dictionaries & Pandas

1. Dictionaries, Part 1 (video)

2. Motivation for dictionaries

3. Create a dictionary

4. Access dictionary

5. Dictionaries, Part 2 (video)

6. Dictionary Manipulation (1)

7. Dictionary Manipulation (2)

8. Dictionariception

--

--