Dynamic Hedging: Managing Vanilla and Exotic Options

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John Wiley & Sons, Jan 14, 1997 - Business & Economics - 528 pages
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.
 

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for traders read
聪聪推荐:作者是很有经验的quant trader,现在纽约,同时在麻省教书。是我现在精读的一本书,因为比较不数学,所以放在睡觉之前看,非常实用,但毕竟是给trader看的,太过实用了。。。。大家不要急着买!第二版就快出来了

Contents

Introduction Dynamic Hedging
1
Introduction to the Instruments
9
The Generalized Option
38
Market Making and Market Using
48
Liquidity and Liquidity Holes
68
Arbitrage and the Arbitrageurs
80
Volatility and Correlation
88
Part II
109
Options
290
Barrier Options I
312
Technique
344
Double Barrier Options
362
Compound Choosers and Higher Order Options
376
Multiasset Options
383
Linear Combinations
390
Lookback and Asian Options
403

The Delta
115
Gamma and Shadow Gamma
132
Vega and the Volatility Surf ace
147
Theta and Minor Greeks
167
The Greeks and Their Behavior
191
Fungibility Convergence and Stacking
208
Some Wrinkles of Option Markets
222
Bucketing and Topography
229
Beware the Distribution
238
Option Trading Concepts
256
Trading and Hedging Exotic Options
271
Module A Brownian Motion on a Spreadsheet a Tutorial
415
Module B Risk Neutrality Explained
426
A Graphical Case Study
438
Module E The ValueatRisk
445
Module F Probabilistic Rankings in Arbitrage
453
Module G Option Pricing
459
Notes
479
Bibliography
490
Index
499
Copyright

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About the author (1997)

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.

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