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Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance Book 64) by [Nassim Nicholas Taleb]

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Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance Book 64) 1st Edition, Kindle Edition

4.5 out of 5 stars 32 ratings

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Length: 530 pages Language: English

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Product Description

Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers
Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management.
Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

From the Back Cover

Dynamic Hedging is the definitive source on derivatives risk. It provides a real-world methodology for managing portfolios containing any nonlinear security. It presents risks from the vantage point of the option market maker and arbitrage operator. The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner's environment. As a larger share of market exposure cannot be properly captured by mathematical models, noted option arbitrageur Nassim Taleb uniquely covers both on-model and off-model derivatives risks.

The author discusses, in plain English, vital issues, including:
* The generalized option, which encompasses all instruments with convex payoff, including a trader's potential bonus.
* The techniques for trading exotic options, including binary, barrier, multiasset, and Asian options, as well as methods to take into account the wrinkles of actual, non-bellshaped distributions.
* Market dynamics viewed from the practitioner's vantage point, including liquidity holes, portfolio insurance, squeezes, fat tails, volatility surface, GARCH, curve evolution, static option replication, correlation instability, Pareto-Levy, regime shifts, autocorrelation of price changes, and the severe flaws in the value at risk method.
* New tools to detect risks, such as higher moment analysis, topography exposure, and 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 book contains modules in which the fundamental mathematics of derivatives, such as the Brownian motion, Ito's lemma, the numeraire paradox, the Girsanov change of measure, and the Feynman-Kac solution are presented in intuitive practitioner's language.

Dynamic Hedging is an indispensable and definitive reference for market makers, academics, finance students, risk managers, and regulators.

The definitive book on options trading and risk management

"If pricing is a science and hedging is an art, Taleb is a virtuoso." --Bruno Dupire, Head of Swaps and Options Research, Paribas Capital Markets

"This is not merely the best book on how options trade, it is the only book." --Stan Jonas, Managing Director, FIMAT-Soci?t? G?n?rale

"Dynamic Hedging bridges the gap between what the best traders know and what the best scholars can prove." --William Margrabe, President, The William Margrabe Group, Inc.

"The most comprehensive, insightful, intuitive work on the subject. It is instrumental for both beginning and experienced traders."--

"A tour de force. That rare find, a book of great practical and theoretical value. Taleb successfully bridges the gap between the academic and the real world. Interesting, provocative, well written. Each chapter worth a fortune to any current or prospective derivatives trader."--Victor Niederhoffer, Chairman, Niederhoffer Investments


Product details

  • Format: Kindle Edition
  • File Size: 9806 KB
  • Print Length: 528 pages
  • Publisher: Wiley; 1 edition (10 December 2007)
  • Sold by: Amazon Australia Services, Inc.
  • Language: English
  • ASIN: B000UG9JQA
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Not Enabled
  • Enhanced Typesetting: Not Enabled
  • Customer Reviews: 4.5 out of 5 stars32 customer ratings
  • Amazon Bestsellers Rank: #488,091 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
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Customer reviews

4.5 out of 5 stars
4.5 out of 5
32 customer ratings
5 star 67% (67%) 67%
4 star 17% (17%) 17%
3 star 11% (11%) 11%
2 star 5% (5%) 5%
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Top international reviews

zaratou
4.0 out of 5 stars The best book on hedging out there
Reviewed in the United Kingdom on 14 March 2017
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Mr. Christopher M. T. Bowden
5.0 out of 5 stars A must for anybody wanting to fully understand the Game of Exotics Options
Reviewed in the United Kingdom on 21 May 2013
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Patrikos
3.0 out of 5 stars This book is ADVANCED
Reviewed in the United Kingdom on 24 April 2011
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Martin Rucka
5.0 out of 5 stars MasterPiece
Reviewed in the United Kingdom on 16 November 2013
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Andy Lorin
4.0 out of 5 stars This 1997 option hedging piece still one of the best
Reviewed in Canada on 2 February 2019
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Random Quant
5.0 out of 5 stars Need several readings to appreciate
Reviewed in France on 24 July 2012
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Dr. Chrilly Donninger
3.0 out of 5 stars Geschichten aus dem Optionenhandel
Reviewed in Germany on 14 December 2015
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8 people found this helpful
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Robert
2.0 out of 5 stars below average
Reviewed in the United Kingdom on 1 November 2013
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bailey_nyc
5.0 out of 5 stars Advanced Text on Derivatives Trading
Reviewed in the United States on 1 June 2014
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34 people found this helpful
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Charles O Grigsby
5.0 out of 5 stars Filled with gems for those who are willing to work to find them
Reviewed in the United States on 10 February 2013
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13 people found this helpful
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rcdv
5.0 out of 5 stars Best on the subject!
Reviewed in the United States on 10 November 2018
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Ben Kream
4.0 out of 5 stars Quick Question
Reviewed in the United States on 12 December 2007
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15 people found this helpful
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LarryW
5.0 out of 5 stars Excellent and advanced book
Reviewed in the United States on 19 May 2012
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7 people found this helpful
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PC
5.0 out of 5 stars One of a kind
Reviewed in the United States on 22 May 2009
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20 people found this helpful
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Jay Balapa
3.0 out of 5 stars Advanvced Text - Very Interesting
Reviewed in the United States on 13 July 2010
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