The rate at which delta changes as the underlying price changes. High gamma means a delta hedge needs frequent adjustment. Where it appears →
GARCH
A model in which today's variance depends on the previous variance and the latest squared return. It captures volatility clustering and the return to a long-run level. Where it appears →
Gaussian copula
A copula that takes its dependence from a multivariate normal distribution. It is simple but gives little probability to joint extreme events. Where it appears →
Global systemically important bank
A bank whose failure would damage the global financial system, judged by size, interconnection and complexity. It faces a capital surcharge. Where it appears →
Greeks
The sensitivities of an option's value to its inputs, namely delta, gamma, vega, theta and rho. Traders use them to measure and hedge risk. Where it appears →
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