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. It is instrumental for both beginning and experienced traders. That rare find, a book of great practical and theoretical value.

Dynamic Hedging. by Nassim Nicholas Taleb — Reviews, Discussion, Bookclubs, Lists

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. Prices are valid for France. Change location to view local pricing and availability.

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You are now subscribed to our email alert for Accounting Technology. Our Solutions, Your Way. Home Subjects About Wiley Contact Us Help Search Form Search Input. Managing Vanilla and Exotic Options Nassim Nicholas Taleb. Description 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. The definitive book on options trading and risk management "If pricing is a science and hedging is an art, Taleb is a virtuoso.

Table of Contents Partial table of contents: Liquidity and Liquidity Holes. Gamma and Shadow Gamma.

Money A2Z

Theta and Minor Greeks. Fungibility, Convergence, and Stacking. TRADING AND HEDGING EXOTIC OPTIONS. Compound, Choosers, and Higher Order Options. A Graphical Case Study. Probabilistic Rankings in Arbitrage. Author Information Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and buying shares bank of ireland 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. Sep stock option lawsuit was inducted in February in the Derivatives Strategy Hall of Fame.

He received an MBA from the Wharton School and a Ph. Lecturing Birds bermudan style return put option Flying: Can Mathematical Theories Destroy the Financial Dynamic hedging managing vanilla and exotic options (wiley finance) Risk Management and Control.

The Finite Difference Method. Dictionary of Financial Engineering.

Pricing Theory, Exotic Options, and Hedging Applications. The Handbook of Equity Derivatives, Revised Edition. Toy EditorJ. Learn more about WileyTrading. X To apply for permission please send your request to permissions wiley. This should include, the Wiley title sand the specific portion of the content you wish to re-use e.

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