Items related to Dynamic Hedging: Managing Vanilla and Exotic Options...

Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) - Hardcover

  • 4.03 out of 5 stars
    524 ratings by Goodreads
 
9780471152804: Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance)

Synopsis

Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers
Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. 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.
Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. 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. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

"synopsis" may belong to another edition of this title.

About the Author

Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. 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. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

From the Back Cover

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

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-SociÃ(c)tÃ(c) GÃ(c)nÃ(c)rale

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

"About this title" may belong to another edition of this title.

Buy Used

Condition: Good
Ship within 24hrs. Satisfaction...
View this item

FREE shipping within U.S.A.

Destination, rates & speeds

Search results for Dynamic Hedging: Managing Vanilla and Exotic Options...

Stock Image

Taleb, Nassim Nicholas
Published by Wiley (edition 1), 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: BooksRun, Philadelphia, PA, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Hardcover. Condition: Good. 1. Ship within 24hrs. Satisfaction 100% guaranteed. APO/FPO addresses supported. Seller Inventory # 0471152803-11-1

Contact seller

Buy Used

US$ 45.76
Convert currency
Shipping: FREE
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Stock Image

Taleb, Nassim Nicholas
Published by Wiley (edition 1), 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: BooksRun, Philadelphia, PA, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Hardcover. Condition: Very Good. 1. Ship within 24hrs. Satisfaction 100% guaranteed. APO/FPO addresses supported. Seller Inventory # 0471152803-8-1

Contact seller

Buy Used

US$ 45.76
Convert currency
Shipping: FREE
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Seller Image

Taleb, Nassim Nicholas
Published by Wiley, 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: Dream Books Co., Denver, CO, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Condition: acceptable. This copy has clearly been enjoyedâ"expect noticeable shelf wear and some minor creases to the cover. Binding is strong, and all pages are legible. May contain previous library markings or stamps. Seller Inventory # DBV.0471152803.A

Contact seller

Buy Used

US$ 46.27
Convert currency
Shipping: FREE
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Stock Image

Taleb, Nassim Nicholas
Published by Wiley
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used

Seller: SecondSale, Montgomery, IL, U.S.A.

Seller rating 4 out of 5 stars 4-star rating, Learn more about seller ratings

Condition: Good. Item in good condition. Textbooks may not include supplemental items i.e. CDs, access codes etc. Seller Inventory # 00088804682

Contact seller

Buy Used

US$ 48.32
Convert currency
Shipping: FREE
Within U.S.A.
Destination, rates & speeds

Quantity: 2 available

Add to basket

Stock Image

Taleb, Nassim Nicholas
Published by Wiley, 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: ThriftBooks-Atlanta, AUSTELL, GA, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Hardcover. Condition: Very Good. No Jacket. May have limited writing in cover pages. Pages are unmarked. ~ ThriftBooks: Read More, Spend Less 2.53. Seller Inventory # G0471152803I4N00

Contact seller

Buy Used

US$ 48.39
Convert currency
Shipping: FREE
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Seller Image

Taleb, Nassim Nicholas
Published by Wiley, 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: Bay State Book Company, North Smithfield, RI, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Condition: good. The book is in good condition with all pages and cover intact, including the dust jacket if originally issued. The spine may show light wear. Pages may contain some notes or highlighting, and there might be a "From the library of" label. Boxed set packaging, shrink wrap, or included media like CDs may be missing. Seller Inventory # BSM.OCOJ

Contact seller

Buy Used

US$ 48.42
Convert currency
Shipping: FREE
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Seller Image

Taleb, Nassim Nicholas
Published by Wiley, 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: Bay State Book Company, North Smithfield, RI, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Condition: good. The book is in good condition with all pages and cover intact, including the dust jacket if originally issued. The spine may show light wear. Pages may contain some notes or highlighting, and there might be a "From the library of" label. Boxed set packaging, shrink wrap, or included media like CDs may be missing. Seller Inventory # BSM.OHWZ

Contact seller

Buy Used

US$ 48.42
Convert currency
Shipping: FREE
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Stock Image

Taleb, Nassim Nicholas
Published by Wiley, 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: HPB-Red, Dallas, TX, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Hardcover. Condition: Acceptable. Connecting readers with great books since 1972. Used textbooks may not include companion materials such as access codes, etc. May have condition issues including wear and notes/highlighting. We ship orders daily and Customer Service is our top priority! Seller Inventory # S_423929528

Contact seller

Buy Used

US$ 44.73
Convert currency
Shipping: US$ 3.75
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Seller Image

Taleb, Nassim
Published by Wiley, 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: GreatBookPrices, Columbia, MD, U.S.A.

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Condition: good. May show signs of wear, highlighting, writing, and previous use. This item may be a former library book with typical markings. No guarantee on products that contain supplements Your satisfaction is 100% guaranteed. Twenty-five year bookseller with shipments to over fifty million happy customers. Seller Inventory # 2560-5

Contact seller

Buy Used

US$ 62.82
Convert currency
Shipping: US$ 2.64
Within U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

Stock Image

Taleb, Nassim
Published by John Wiley, USA, 1997
ISBN 10: 0471152803 ISBN 13: 9780471152804
Used Hardcover

Seller: Shiny Owl Books, Gloucester, NSW, Australia

Seller rating 5 out of 5 stars 5-star rating, Learn more about seller ratings

Hardcover. Condition: Fine. Dust Jacket Condition: Very Good. Size: Medium (20 to 26cm). Item Type: Book. Text body is clean and unmarked. Binding tight, spine fine. Minor marks and wear to book and jacket. ISBN: 0471152803. ISBN/EAN: 9780471152804. **Heavy Book. A Postage surcharge may be requested. Contact us BEFORE ordering for a quote. Click Ask Bookseller a Question**. Seller Inventory # 55031

Contact seller

Buy Used

US$ 52.31
Convert currency
Shipping: US$ 18.00
From Australia to U.S.A.
Destination, rates & speeds

Quantity: 1 available

Add to basket

There are 32 more copies of this book

View all search results for this book