Well....it is like in the film Troy....there are too many greeks...the other day at work, we were a bit surprise that increasing the vol, we got a lower prima.we studied that thing and we got to understand it (the thing just takes place with itm options)I got a forum (hedging a book of binaries) where vomma and vamma were introduced (at least to me).Vomma: Dvega/DvolVamma: DVega/DSDoes anyone have an analitic formula for these two, especially vamma?THANKS!

Vomma is also (in fact, more typically) called volga. Of course, it is the second derivative of premium w.r.t. volWhat you call vamma is usually called vanna. Maybe you have made a typo, maybe this term is in circulation; I don't know.The formulae for the entire Trojan wars are at www.mathfinance.de. You join and get emailed a password; but it is completely free. Lots and lots of nice apparently error free postscript files of formulae and greeks, and some derivations. There is also a lot of stuff in "Foreign Exchange Risk ..." by Hakala and Wystup. Wystup is the main guy at mathfinance, so either will do.

hi,two extremely great articles relating to Vomma and Vanna are written by The Collector (aka Espen Haug). the articles are named "Know Your Weapon Part 1 & 2" and can be found in the Wilmott magazine. Spoona13

Vomma: Dvega/DvolVamma: DVega/DSFor vanilla call & put:Vega = Sxsqrt(T-t) exp(-D(T-t) N'(d1), where d1 = (log(S/K)+(r-D+0.5xSigma^2)x(T-t))/(sigma x sqrt(T-t))And N'(X)= exp(-0.5xX^2)/sqrt(2PI)All you have to do is diferentiate with respect to either of Sigma (What you call Vol) or S. As you can imagine the analytical formula is going to be quite long for Vomma especially !

Thank you all!!!!....The formula doesnt apper on the german page...(just tge vomma is), and I dont have the wilmott magazine where these 2 articles are, and I am not confident enough to differentiate them myself....So....any mercyfull soul may provide me with that formula?Pd: the collector´s book is somehere in the office....but i guess it is not there, is it?

just in case someone answers....i need vomma and vanna for digital options...thanks again

Regarding the title: FDAX is for some undisclosed reason no longer among us.. It is highly recommended to leave your complaint about this in the appropriate thread in the Forum Bugs of Off Topic forums..

Ruso,Digital options ? You should have said that before ! I don't have my notes with me but I am assuming you won't obtain closed formed fomulas for digitals, as they are exotics. I'll check tonight but I don't think so. Note that the Vegas I gave are only valid for Vanilla !

Thanks ruso....In wilmott´s book, the vega for digitals is:e^-r*tN´(d2)*(sqrt(time)+d2/vol)since i have to terms where S is present (N´(d2) and d2) I find it hard to derive it myself....all the tricks I know to derive the greeks seem no to fit in here.I just need Vanna (i.e dv/ds)THANKS AGAIN!

ruso=mahofferI had forgotten my password so i started again...I meant thanks Emmanuel

have u tried www.mathfinance.de ? they have a library full of trojans and greeks, all riding their PDE horses.

i did...they have just vomma...thanx anyway

vanna = cross on mathfinance editapologies - no vanna for digitals on mathfinance...

Almost 2000 people visited this place....thanks all, but we can admit:1) people dont like deriving, or are lazy to do that...(even when they love to help...i thank again)2) vanna is dead.Life must go on...no vanna, no sex, no money...should it really go on?I am certain we should declare this thread closed....

the counters are haywire .. most threads showing very high views. Still I think if u ask Uwe he will update his website with a formula for vanna and yes this thread is definitely closed.