Dynamic Hedging: Managing Vanilla and Exotic Options
| Author | : | |
| Rating | : | 4.70 (668 Votes) |
| Asin | : | 0471152803 |
| Format Type | : | paperback |
| Number of Pages | : | 528 Pages |
| Publish Date | : | 2015-03-11 |
| Language | : | English |
DESCRIPTION:
Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. from University Paris-Dauphine. 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. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Scien
"Advanced Text on Derivatives Trading" according to bailey_nyc. Taleb is one arrogant dude who loves flooding his books with archaic words which were last employed in the English Language by Geoffrey Chauncer. But alas, Dynamic Hedging is a strong advanced text which goes through many nuanced topics. For example, he makes some good points on managing option greeks. Some chapters I really enjoyed which are hugely important in practice that you don't learn in any classroom: soft American options, discrete delta vs continuous delta. Charles O Grigsby said Filled with gems for those who are willing to work to find them. Not a page turner. This is one of those books that requires the reader to work hard for the gems hidden within, but it is Taleb who has done the really hard work of organizing information in a way that makes the gems accessible to the reader in the first place. This book is more about exploring and explaining effective thought process in risk management than it is a "how to" manual. I am reminded of the John Houseman character in "the Paper Chase" TV series who says. "great book even with some errors" according to DealHunter. Most practical option book in the market. Not on single position, but on managing large trading books.
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 only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner's environment. Each chapter worth a fortune to any current or prospective derivatives trader."-Victor Niederhoffer, Chairman, Niederhoffer Investments. 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
Fills a big gap in investment literature--the only book to share complex options trading strategies and advanced risk management methods with trading professionals. From the Publisher 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.