W FINANCIAL ENGINEERING. DINAMIC. HEDGING. MANAGING. VANILLA AND . EXOTIC OPTIONS. Nassim Taleh. Page 2. Page 3. Page 4. Page 5. Page 6. Dynamic Hedging: Managing Vanilla and Exotic Options John Wiley & Sons, Jan 14, – Business & Economics – pages . Wiley finance editions. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to Dynamic Hedging: Managing Vanilla and Exotic Options.
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Taleb is one arrogant dude who loves flooding his books with archaic words which were last employed in the English Language by Geoffrey Chauncer.
Taleb successfully bridges the gap between the academic and the real world. Fills a big gap in investment literature — the only book to share complex options trading strategies and advanced risk management methods with 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.
Taleb, despite his claims of hour marathon mathematical musings cannot seem to make up his mind if he is a mathematician, a trader, or both. Probabilistic Rankings in Arbitrage.
It presents risks from thevantage point of the option market maker and arbitrage operator. To ask other readers questions about Dynamic Hedgingplease sign up. Goodreads helps you keep track of books you want to read. 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 funance. Honestly, the best way to dyjamic the book is probably to read the grey boxes and nothing else. But once you read those, this one should definitely be next on your list.
Learn more about WileyTrading. Itprovides a real-world methodology for managing portfolioscontaining any nonlinear security.
Dynamic Hedging: Managing Vanilla and Exotic Options
Some chapters I really enjoyed which are hugely important in practice that you don’t learn in any classroom: Taleb does manage to point out convincingly by beating you over the head with it for pages that nonlinear instruments carry with them risks that linear ones do not. A Graphical Case Study. Wendy Yu rated it it was exotoc Nov 23, His main fault is that finanve sometimes harps too hard on certain points while skimming rapidly over others that are not easily understood by those less familiar with derivatives trading.
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My library Help Advanced Book Search. Dynamic Hedging is an indispensable and definitive reference for market makers, academics, nedging students, risk managers, and regulators.
The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner’s environment. Not for the beginner but an excellent book.
That rare find, a book of great practical and theoretical value. But there comes a time where you have to overcome difficulties if you really want to learn.
Liquidity and Liquidity Holes. Description Dynamic Hedging is the definitive source on derivatives risk. 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.
It is an entertaining combination of intuitive explanations, mathematical derivations, and war stories from the trading floor. Trivia About Dynamic Hedging: I suspect it originates from the lack of other wilej on the subject at the time of its publication. Added to Your Shopping Cart. This book will be of zero interest to anyone not involved in the securities trading industry and of small interest still to those not involved with derivatives.
Dynamic Hedging: Managing Vanilla and Exotic Options – Nassim Taleb, Taleb – Google Books
Theory of Financial Risk and Derivative Pricing: I say call it like you see it. Account Options Sign in.
Replete with helpful tools, market anecdotes, and at—a—glance risk management rules, Dynamic Hedging, Revised Edition is a comprehensive reference to the complexities of the options market that provides clear explanations of all the various forms of risk. Dec 10, Carl Yang rated it it was amazing. The book contains modules in which thefundamental mathematics of derivatives, such as the Brownianmotion, Ito’s lemma, the numeraire paradox, the Girsanov change ofmeasure, and the Feynman-Kac solution are presented in intuitivepractitioner’s language.
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. That rare dynanic, a book of great practical and theoretical value. This book is not without a following, which to me is very odd. A little technical in parts.
Sinclair, hedgihg, gives 2 chapters to hedging, discussing different approaches to formulating an optimal hedging strategy. Module E The ValueatRisk.
Dynamic Hedging: Managing Vanilla and Exotic Options by Nassim Nicholas Taleb
All this was interspersed with asides in grey boxes that completely disrupted the flow of the text. Managing Vanilla and Exotic Options Series in financial economics and quantitative analysis Volume 64 of Wiley Finance Wiley finance editions Wiley series in financial engineering.
Read, highlight, and take notes, across web, tablet, and phone. Managing Vanilla and Exotic Options. Just a warning Taleb is one arrogant dude who loves flooding his books with archaic words which were last employed in the English Language by Geoffrey Chauncer. Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets.
As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. 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.