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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Dynamic Hedging: Managing Vanilla and Exotic Options – Nassim Taleb, Taleb – Google Books

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. It is instrumental for both beginning and experienced traders. 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.

[PDF] Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) [Read] Online

Each chapter worth a fortune to any current or prospective derivatives trader. Request permission to reuse content from this title.

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Please read our Privacy Policy. Print this page Share. 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 heding 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 hedigng, 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.

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

The path dependence of all options hedged dynamically. The definitive book on options trading and risk management “If pricing is a science and hedging is an art, Taleb is a virtuoso. Table of Contents Partial table of contents: Liquidity and Liquidity Holes. Gamma and Shadow Gamma. Theta and Minor Greeks. Exotiv, Convergence, and Stacking.


Compound, Choosers, and Higher Order Options. A Graphical Case Study. Probabilistic Rankings in Arbitrage. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago.

Essential Methods for Investing Success. High Performance Options Trading: The Volatility Course, Workbook: Learn more about WileyTrading. This Print-on-Demand format will be printed specifically to fill your order.

Allow additional time for delivery. X To apply for permission please send your request to permissions wiley. This should include, the Wiley title sand the specific portion of the content you wish to re-use e. If this is a republication request please include details of the new work in which the Wiley content will appear.