Langsung ke konten utama

Dynamic Hedging - Managing Vanilla and Exotic Options (9780471152804)



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


Product details

  • Hardback | 528 pages
  • 181 x 264 x 33mm | 1,140g
  • New York, United States
  • English
  • 1. Auflage
  • 0471152803
  • 9780471152804
  • 112,978


Download Dynamic Hedging - Managing Vanilla and Exotic Options (9780471152804).pdf, available at ebookdownloadfree.co for free.

>DOWNLOAD NOW<

Komentar

Posting Komentar

Postingan populer dari blog ini

The Teacher Wars : A History of America's Most Embattled Profession (9780345803627)

A New York Times Bestseller In her groundbreaking history of 175 years of American education, Dana Goldstein finds answers in the past to the controversies that plague our public schools today. In The Teacher Wars, a rich, lively, and unprecedented history of public school teaching, Dana Goldstein reveals that teachers have been embattled for nearly two centuries. She uncovers the surprising roots of hot button issues, from teacher tenure to charter schools, and finds that recent popular ideas to improve schools--instituting merit pay, evaluating teachers by student test scores, ranking and firing veteran teachers, and recruiting "elite" graduates to teach--are all approaches that have been tried in the past without producing widespread change. The Teacher Wars upends the conversation about American education by bringing the lessons of history to bear on the dilemmas we confront today. By asking "How did we get here?" Dana Goldstein brilliantly illuminates the path ...
Posting Komentar
Baca selengkapnya

Shigley's Mechanical Engineering Design, 11th Edition, Si Units (9789813158986)

Shigley's Mechanical Engineering Design isintended for students beginning the study of mechanical engineering design.Students will find that the text inherently directs them into familiarity withboth the basics of design decisions and the standards of industrial components.It combines the straightforward focus on fundamentals that instructors havecome to expect with a modern emphasis on design and new applications. Thisedition maintains the well-designed approach that has made this book thestandard in machine design for nearly 50 years. McGraw Hill Education's Connectis also available as an optional add on item. Connect is the only integratedlearning system that empowers students by continuously adapting to deliverprecisely what they need when they need it how they need it so that class timeis more effective. Connect allows the professor to assign homework quizzes andtests easily and automatically grades and records the scores of the student'swork. Problems are randomized...
Posting Komentar
Baca selengkapnya

Operations Management: Processes and Supply Chains, Global Edition (9781292259932)

For undergraduate and graduate operations management courses. Operations Management: Processes and Supply Chains provides students with a comprehensive framework for addressing operational process and supply chain issues and uses a systemised approach while focusing on issues of current interest. The 12th Edition provides ample opportunities for students to experience the role of a manager with challenging problems, cases, a library of videos customised to the individual chapters, simulations, experiential exercises, and tightly integrated online resources. Product details Format Paperback | 688 pages Dimensions ...
Posting Komentar
Baca selengkapnya