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

Thread starter dstefan
Start date 11/5/13

Julianlapoutre

12/11/13

#21

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

dstefan

Baruch MFE Director

12/11/13

#22

The Gamma of plain vanilla options is always positive.

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

Earl Chua

12/12/13

#23

dstefan said:
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!

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