9780471152804

Dynamic Hedging: Managing Vanilla and Exotic Options

Taleb, Nassim Nicholas

ISBN 10: 0471152803 / 0-471-15280-3
ISBN 13: 9780471152804
Publisher: Wiley
Publication Date: 1997
Binding: Hardcover
Editorial Reviews for this title:
Synopsis:
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


Review:
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.

From the Publisher

Editorial reviews may belong to another edition of this title.
 

Dynamic Hedging: Managing Vanilla and Exotic Options: Search Results

1.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Paperbackshop-US (Secaucus, NJ, U.S.A.)
Bookseller Rating: 5-star rating
Quantity Available: > 20

Book Description: John Wiley and Sons, 1997. Hardback. Book Condition: New. New Book. Shipped from UK. Bookseller Inventory # FW-9780471152804

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 74.68
Convert Currency
Shipping: US$ 3.99
Within U.S.A.
2.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Paperbackshop-US (Secaucus, NJ, U.S.A.)
Bookseller Rating: 5-star rating
Quantity Available: > 20

Book Description: Wiley 01/10/2014, 2014. Hardback. Book Condition: New. New Book. This item is printed on demand. Shipped from US This item is printed on demand. Bookseller Inventory # IJ-9780471152804

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 82.63
Convert Currency
Shipping: US$ 3.99
Within U.S.A.
3.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Books2Anywhere (Fairford, GLO, United Kingdom)
Bookseller Rating: 5-star rating
Quantity Available: > 20

Book Description: John Wiley and Sons, 1997. Hardback. Book Condition: New. New Book. Shipped from UK. Bookseller Inventory # FW-9780471152804

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 79.67
Convert Currency
Shipping: US$ 14.21
From United Kingdom to U.S.A.
4.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: The Book Depository (Gloucester, UK, United Kingdom)
Bookseller Rating: 5-star rating
Quantity Available: 10

Book Description: John Wiley and Sons Ltd, United States, 1997. Hardback. Book Condition: New. 259 x 183 mm. Language: English Brand New Book ***** Print on Demand *****.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. Bookseller Inventory # APC9780471152804

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 96.50
Convert Currency
Shipping: FREE From United Kingdom to U.S.A.
5.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Chiron Media (OXON, ., United Kingdom)
Bookseller Rating: 5-star rating
Quantity Available: 5

Book Description: John Wiley & Sons 1997-01-23, 1997. Hardback. Book Condition: New. Bookseller Inventory # NU-GRD-00654678

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 101.33
Convert Currency
Shipping: US$ 4.72
From United Kingdom to U.S.A.
6.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Castle Rock (Amherst, NS, Canada)
Bookseller Rating: 5-star rating
Quantity Available: 1

Book Description: Book Condition: Brand New. Book Condition: Brand New * All orders are processed and shipped from Las Vegas, NV USA *. Bookseller Inventory # 97804711528041.0

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 102.11
Convert Currency
Shipping: US$ 3.99
From Canada to U.S.A.
7.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Grand Eagle Retail (Romulus, MI, U.S.A.)
Bookseller Rating: 4-star rating
Quantity Available: 1

Book Description: 1996. Hardcover. Book Condition: New. 1st. 185mm x 31mm x 259mm. Hardcover. Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managersWatch the professiona.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 528 pages. 1.116. Bookseller Inventory # 9780471152804

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 106.97
Convert Currency
Shipping: FREE Within U.S.A.
8.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: ExtremelyReliable (Richmond, TX, U.S.A.)
Bookseller Rating: 5-star rating
Quantity Available: 1

Book Description: Wiley. Hardcover. Book Condition: New. Bookseller Inventory # DADAX0471152803

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 105.89
Convert Currency
Shipping: US$ 3.99
Within U.S.A.
9.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Kennys Bookstore (Olney, MD, U.S.A.)
Bookseller Rating: 5-star rating
Quantity Available: 4

Book Description: John Wiley and Sons Ltd. Book Condition: New. 1997. 1st Edition. Hardcover. . . . . . Books ship from the US and Ireland . Bookseller Inventory # V9780471152804

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 115.19
Convert Currency
Shipping: FREE Within U.S.A.
10.

Taleb, Nassim Nicholas
ISBN 10: 0471152803
ISBN 13: 9780471152804
Bookseller: Citi Retail (Lowfield Heath, CRAWL, United Kingdom)
Bookseller Rating: 4-star rating
Quantity Available: 1

Book Description: 1996. Hardcover. Book Condition: New. 1st. 185mm x 31mm x 259mm. Hardcover. Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managersWatch the professionals. From c.Shipping may be from our UK, US or Australian warehouse depending on stock availability. 528 pages. 1.116. Bookseller Inventory # 9780471152804

Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question

Add Book to Shopping Basket
Price: US$ 98.88
Convert Currency
Shipping: US$ 20.52
From United Kingdom to U.S.A.
View All Listings for this Book