  Risk management in financial derivative markets requires inevitably the
calculation of the different price sensitivities. The literature contains an
abundant amount of research works that have studied the computation of these
important values. Most of these works consider the well-known Black and Scholes
model where the volatility is assumed to be constant. Moreover, to our best
knowledge, they compute only the first order price sensitivities. Some works
that attempt to extend to markets affected by financial crisis appeared
recently. However, none of these papers deal with the calculation of the price
sensitivities of second order. Providing second derivatives for the underlying
price sensitivities is an important issue in financial risk management because
the investor can determine whether or not each source of risk is increasing at
an increasing rate. In this paper, we work on the computation of second order
prices sensitivities for a market under crisis. The underlying second order
price sensitivities are derived explicitly. The obtained formulas are expected
to improve on the accuracy of the hedging strategies during a financial crunch.
