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Product Identifiers
PublisherWiley & Sons, Incorporated, John
ISBN-100471152803
ISBN-139780471152804
eBay Product ID (ePID)430208
Product Key Features
Edition1
Book TitleDynamic Hedging : Managing Vanilla and Exotic Options
Number of Pages528 Pages
LanguageEnglish
TopicMethodology, Finance / Financial Risk Management, Investments & Securities / Options, Investments & Securities / General
Publication Year1997
IllustratorYes
GenreSocial Science, Business & Economics
AuthorNassim Nicholas Taleb
Book SeriesWiley Finance Ser.
FormatHardcover
Dimensions
Item Height1.2 in
Item Weight36.1 Oz
Item Length10.1 in
Item Width7.3 in
Additional Product Features
Intended AudienceTrade
LCCN96-034283
Dewey Edition20
Series Volume Number64
Dewey Decimal332.6/3228
Table Of ContentIntroduction Dynamic Hedging 1 Part 1 Markets, Instruments, People 1 Introduction to the Instruments 9 2 The Generalized Option 38 3 Market Making and Market Using 48 4. Liquidity and Liquidity Holes 68 5 Arbitrage and the Arbitrageurs 80 6 Volatility and Correlation 88 Part II Measuring Option Risks 7 Adapting Black-Scholes-Merton: The Delta 115 8 Gamma and Shadow Gamma 132 9 Vega and the Volatility Surface 147 10 Theta and Minor Greeks 167 11 The Greeks and Their Behavior 191 12 Fungibility, Convergence, and Stacking 208 13 Some Wrinkles of Option Markets 222 14 Bucketing and Topography 229 15 Beware the Distribution 238 16 Option Trading Concepts 256 Part III Trading and Hedging Exotic Options 17 Binary Options: European Style 273 18 Binary Options: American Style 295 19 Barrier Options (I) 312 20 Barrier Options (II) 347 21 Compound, Choosers, and Higher Order Options 376 22 Multiasset Options 383 23 Minor Exotics: Lookback and Asian Options 403 Part IV Modules Module A Brownian Motion on a Spreadsheet, a Tutorial 415 Module B Risk Neutrality Explained 426 Module C Numeraire Relativity and the Two-Country Paradox 431 Module D Correlation Triangles: A Graphical Case Study 438 Module E The Value-at-Risk 445 Module F Probabilistic Rankings in Arbitrage 453 Module G Option Pricing 459 Notes 479 Bibliography 490 Index 499
SynopsisDestined 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., 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., 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-Socit Gnrale "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
LC Classification NumberHG6024.A3T35 1997
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