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Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance Book 64) (English Edition) 1er Édition, Format Kindle
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.
Description du produit
Biographie de l'auteur
Quatrième de couverture
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–Société Générale
"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--Ce texte fait référence à une édition épuisée ou non disponible de ce titre.
Détails sur le produit
- ASIN : B000UG9JQA
- Éditeur : Wiley; 1er édition (10 décembre 2007)
- Langue : Anglais
- Taille du fichier : 9806 KB
- Synthèse vocale : Activée
- Confort de lecture : Non activé
- X-Ray : Non activée
- Word Wise : Non activé
- Nombre de pages de l'édition imprimée : 528 pages
- Classement des meilleures ventes d'Amazon : 426,427 en Boutique Kindle (Voir les 100 premiers en Boutique Kindle)
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This a book for professional who want to understand in deep how professional trades manage their risk by hedging.
Good Luck Everybody the Game is On.