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

4.4 out of 5 stars 121 ratings
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ISBN-13: 978-0471152804
ISBN-10: 0471152803
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Editorial Reviews

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. Fills a big gap in investment literature--the only book to share complex options trading strategies and advanced risk management methods with trading professionals. --This text refers to the hardcover edition.

From the Inside Flap

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-Société Générale

"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
--This text refers to the hardcover edition.

Product details

  • ASIN ‏ : ‎ B000UG9JQA
  • Publisher ‏ : ‎ Wiley; 1st edition (December 10, 2007)
  • Publication date ‏ : ‎ December 10, 2007
  • Language ‏ : ‎ English
  • File size ‏ : ‎ 9806 KB
  • Text-to-Speech ‏ : ‎ Enabled
  • Enhanced typesetting ‏ : ‎ Not Enabled
  • X-Ray ‏ : ‎ Not Enabled
  • Word Wise ‏ : ‎ Not Enabled
  • Print length ‏ : ‎ 528 pages
  • Lending ‏ : ‎ Enabled
  • Customer Reviews:
    4.4 out of 5 stars 121 ratings

About the author

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Nassim Nicholas Taleb spent more than two decades as a risk taker before becoming a full-time essayist and scholar focusing on practical, philosophical, and mathematical problems with chance, luck, and probability. His focus in on how different systems handle disorder.

He now spends most of his time in the intense seclusion of his study, or as a flâneur meditating in cafés. In addition to his life as a trader he spent several years as an academic researcher (12 years as Distinguished Professor at New York University's School of Engineering, Dean's Professor at U. Mass Amherst).

He is the author of the Incerto (latin for uncertainty), accessible in any order (Skin in the Game, Antifragile, The Black Swan, The Bed of Procrustes, and Fooled by Randomness) plus a technical version, The Technical Incerto (Statistical Consequences of Fat Tails). Taleb has also published close to 55 academic and scholarly papers as a backup, technical footnotes to the Incerto in topics ranging from Statistical Physics and Quantitative Finance to Genetics and International affairs. The Incerto has more than 200 translations in 41 languages.

Taleb believes that prizes, honorary degrees, awards, and ceremonialism debase knowledge by turning it into a spectator sport.

""Imagine someone with the erudition of Pico de la Mirandola, the skepticism of Montaigne, solid mathematical training, a restless globetrotter, polyglot, enjoyer of fine wines, specialist of financial derivatives, irrepressible reader, and irascible to the point of readily slapping a disciple." La Tribune (Paris)

A giant of Mediterranean thought ... Now the hottest thinker in the world", London Times

"The most prophetic voice of all" GQ

Customer reviews

4.4 out of 5 stars
4.4 out of 5
121 global ratings

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Top reviews from other countries

M
1.0 out of 5 stars What a waste of time this was
Reviewed in the United Kingdom on August 26, 2020
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zaratou
4.0 out of 5 stars The best book on hedging out there
Reviewed in the United Kingdom on March 14, 2017
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Patrikos
3.0 out of 5 stars This book is ADVANCED
Reviewed in the United Kingdom on April 23, 2011
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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 May 20, 2013
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Martin Rucka
5.0 out of 5 stars MasterPiece
Reviewed in the United Kingdom on November 15, 2013
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