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Dynamic Hedging: Managing Vanilla and Exotic Options


Mega Sale! Free Shipping Included! Save 27% on the Dynamic Hedging: Managing Vanilla and Exotic Options by Nassim Nicholas Taleb at HYIP Offer. Hurry! Limited time offer. Offer valid only while supplies last. Dynamic Hedging is the definitive source on derivatives risk. It provides a real-world methodology for managing portfolios containing any nonlinear


Product Description

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-Society GARCH

 "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

Additional Information

Manufacturer:Wiley
Brand:Nassim Nicholas Taleb
Publisher:Wiley
Studio:Wiley
UPC:723812152803
EAN:9780471152804
Item Weight:2.46 pounds
Item Size:1.31 x 10 x 10 inches
Package Weight:2.5 pounds
Package Size:7.2 x 1.4 x 1.4 inches

Dynamic Hedging: Managing Vanilla and Exotic Options by Nassim Nicholas Taleb

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Dynamic Hedging: Managing Vanilla and Exotic Options

Brand: Nassim Nicholas Taleb
4.4 out of 5 stars with 50 reviews
Condition: New
Lead Time: 1 - 2 Business Days
Availability: In Stock
$130.00
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