Dynamic Hedging: Managing Vanilla and Exotic Options BY Nassim Nicholas Taleb

Dynamic Hedging: Managing Vanilla and Exotic Options BY Nassim Nicholas Taleb
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Dynamic Hedging:

Managing Vanilla and Exotic Options

BY Nassim Nicholas Taleb

Size of 21.1MB.



Wiley 528 pages January 1997

Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers

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.



AUTHOR INFORMATION:



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.



TABLE OF CONTENTS:



Partial table of contents:

MARKETS, INSTRUMENTS, PEOPLE.

The Generalized Option.

Liquidity and Liquidity Holes.

Volatility and Correlation.

MEASURING OPTION RISKS.

Gamma and Shadow Gamma.

Theta and Minor Greeks.

Fungibility, Convergence, and Stacking.

Bucketing and Topography.

Beware the Distribution.

TRADING AND HEDGING EXOTIC OPTIONS.

Binary Options: European Style.

Compound, Choosers, and Higher Order Options.

Multiasset Options.

MODULES.

Risk Neutrality Explained.

Correlation Triangles: A Graphical Case Study.

Probabilistic Rankings in Arbitrage.

Option Pricing.

Notes.

Bibliography.

Index.