Hi can anyone refer me a book or article about how to run a portfolio of options. Thus suppose I have a portfolio of fx options which includes plain vanillas and exotics such as barriers and digitals. How should I aggregate the total delta, gamma of the the portfolio? Shall I sum up deltas, gammas of vanillas and exotics or shall I look at each posrtfolio alone?? Any help, .ie a book, article which explains those issues in detail is very welcome:-)Many thanks!!!

Have a look at "Dynamic Hedging" by Taleb.Bye.Pier

Thx a lot Pier,In fact I have just ordered it from Amazon...Hope it clearly explains those issues:-)Any quicker reference that you know?

This book by Cottle:http://www.riskdoctor.com/books.html

QuoteOriginally posted by: pceruttiThis book by Cottle:http://www.riskdoctor.com/books.htmlHow is this book? Is it very clear?

Actually I could not download it ...

Any other comments???

QuoteOriginally posted by: pceruttiThis book by Cottle:http://www.riskdoctor.com/books.htmlYou need to buy this book. No free lunch!!

QuoteOriginally posted by: SatrianiHi can anyone refer me a book or article about how to run a portfolio of options. Thus suppose I have a portfolio of fx options which includes plain vanillas and exotics such as barriers and digitals. How should I aggregate the total delta, gamma of the the portfolio? Shall I sum up deltas, gammas of vanillas and exotics or shall I look at each posrtfolio alone?? Any help, .ie a book, article which explains those issues in detail is very welcome:-)Many thanks!!!There is a paper called "Going Global" from RISK magazine November 1997. It aggegates all the FX risk across currency pairs and products - which is what I suppose you are looking for.