W FINANCIAL ENGINEERING. DINAMIC. HEDGING. MANAGING. VANILLA AND . EXOTIC OPTIONS. Nassim Taleh. Page 2. Page 3. Page 4. Page 5. Page 6. Dynamic Hedging: Managing Vanilla and Exotic Options John Wiley & Sons, Jan 14, – Business & Economics – pages . Wiley finance editions. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to Dynamic Hedging: Managing Vanilla and Exotic Options.
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No eBook available Wiley. Read, highlight, and take notes, across web, tablet, and phone. Dynamic Hedging is replete with helpful tools, market anecdotes,at-a-glance risk management rules distilling years of market lore,and important definitions. The book contains modules in which thefundamental mathematics of derivatives, such as the Brownianmotion, Ito’s lemma, the numeraire paradox, the Girsanov change ofmeasure, and the Feynman-Kac solution are presented in intuitivepractitioner’s language. Dynamic Hedging is an indispensable and definitive reference formarket makers, academics, finance students, risk managers, andregulators.
It is instrumental for both beginning and experiencedtraders. That rare find, a book of great practical andtheoretical value.
Taleb successfully bridges the gap between theacademic and the real world. Each chapter worth a fortune to any current or prospectivederivatives trader. If the dot-com bubble was an age of unabashed risk-taking, the prolonged hangover from that binge has fostered a period of hwdging aversion; this snappily titled volume is a detailed text of tools that Account Options Sign in. Itprovides a real-world methodology for managing portfolioscontaining any managibg security.
It presents risks from thevantage point of the option market maker and arbitrage operator. The only book about derivatives risk written by an experiencedtrader My library Help Advanced Book Search. Managing Vanilla and Exotic Options. Nassim TalebTaleb. Dynamic Hedging is the definitive source on derivatives risk.
The only book about derivatives risk written by an experiencedtrader with theoretical training, it remolds option theory to fitthe practitioner’s environment. As a larger share of marketexposure cannot be properly captured by mathematical models, notedoption arbitrageur Nassim Taleb uniquely covers both on-model andoff-model derivatives risks. The author discusses, in plain English, vital issues,including: The generalized option, which encompasses all instruments withconvex hedbing, including a trader’s potential bonus.
Dynamic Hedging: Managing Vanilla and Exotic Options – Nassim Nicholas Taleb – Google Books
The techniques for trading exotic options, including binary,barrier, multiasset, and Asian options, as well as methods to takeinto account the wrinkles of actual, non-bellshapeddistributions.
Market dynamics viewed from the practitioner’s vantage point,including liquidity holes, portfolio insurance, squeezes, fattails, volatility surface, GARCH, curve evolution, static optionreplication, correlation instability, Pareto-Levy, regime shifts,autocorrelation of price changes, and the heeging flaws in the valueat risk method.
New tools to detect risks, such as higher moment analysis,topography exposure, maanaging nonparametric techniques. The path dependence of all options hedged dynamically Dynamic Hedging is replete with helpful tools, market anecdotes,at-a-glance risk management rules distilling years of market lore,and important definitions.
The definitive book on options trading and risk management “If pricing is a science and hedging is an art, Taleb is avirtuoso. Otpions pages Title Page. Contents Introduction Dynamic Hedging.
Introduction to the Instruments. Market Making and Market Using. Liquidity and Liquidity Holes. Arbitrage and the Arbitrageurs. Compound Choosers and Higher Order Options. Lookback optiohs Asian Options. Gamma and Shadow Gamma. Vega and the Volatility Surf ace. Theta and Minor Greeks. The Greeks and Their Behavior.
Fungibility Convergence and Stacking. Some Wrinkles of Option Markets.
WileyTrading: Dynamic Hedging: Managing Vanilla and Exotic Options – Nassim Nicholas Taleb
Trading and Hedging Exotic Dynamlc. Module B Risk Neutrality Explained. A Graphical Case Study. Module E The ValueatRisk. Module F Probabilistic Rankings in Arbitrage. Module G Option Pricing. Other editions – View all Dynamic Hedging: From Statistical Physics to He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago.
Theory of Financial Risk and Derivative Pricing: Managing Vanilla and Exotic Options Series in financial economics and quantitative analysis Volume 64 of Wiley Finance Wiley finance editions Wiley series in financial engineering.