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

Report on the Schools of Akron, Made for the Educational Committee of the Akron Chamber of Commerce (9781372026874)

This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservati...
Posting Komentar
Baca selengkapnya

Socrates : Ironist and Moral Philosopher (9780521314503)

This long-awaited study of the most enigmatic figure of Greek philosophy reclaims Socrates' ground-breaking originality. Written by a leading historian of Greek thought, it argues for a Socrates who, though long overshadowed by his successors Plato and Aristotle, marked the true turning point in Greek philosophy, religion and ethics. The quest for the historical figure focuses on the Socrates of Plato's earlier dialogues, setting him in sharp contrast to that other Socrates of later dialogues, where he is used as a mouthpiece for Plato's often anti-Socratic doctrine. At the heart of the book is the paradoxical nature of Socratic thought. But the paradoxes are explained, not explained away. The book highlights the tensions in the Socratic search for the answer to the question 'How should we live?' Conceived as a divine mandate, the search is carried out through elenctic argument, and dominated by an uncompromising rationalism. The magnetic quality of Socrates...
Posting Komentar
Baca selengkapnya

Umbra (9781735327815)

Ohno Hoia is a guardian of a mysterious collection of seeds and a lonely soul tormented by her hideous, malignant shadow. What world did she come from? What century? She can't remember. She is a stranger to herself, a God's mistake. Driven by the desperate wish to break free from the shadow and save the seeds, Ohno arrives at present-day California's desecrated shores. There she plants a garden the likes of which had not been seen since the days of Eden. While the garden's extraordinary power shocks humanity out of despair and transforms the land, Ohno's shadow grows fiercer and soon begins to threaten everything she holds dear. Now Ohno has no choice but to follow her tormentor as it takes her into the surreal, terrifying wilderness of her own soul - The Forest of Everlasting Night. There she must meet the demons of her own making and ask the question she is dreading most: Who am I? Even if the answer kills her. Even if it already did... A spellbinding blend of...
Posting Komentar
Baca selengkapnya