New Book: 150 Most Frequently Asked Questions on Quant Interviews - Baruch MFE faculty

[Julianlapoutre]

Please does someone could explain why they assume that payoff function is alway convexe whereas gamma can be negativ
Thanks

 

[dstefan]

The Gamma of plain vanilla options is always positive.

However, convexity of payoffs as functions of strike comes from no-arbitrage principles.

 

[Earl Chua]

Last Day: The book can be ordered for $25 for all orders placed before December 8 (15% discount from the $29.50 list price) fromwww.fepress.org/150iqs

All the books ordered from the link above before December 8 are signed by the authors.

Noooooo... I'm a sucker for autographed books. I should have seen this!