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    Taleb on Risk: Dynamic Hedging (Wiley Financial Engineering) (Hardback) By (author) Nassim Nicholas Taleb

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    DescriptionDynamic 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


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  • Full bibliographic data for Taleb on Risk

    Title
    Taleb on Risk
    Subtitle
    Dynamic Hedging
    Authors and contributors
    By (author) Nassim Nicholas Taleb
    Physical properties
    Format: Hardback
    Number of pages: 528
    Width: 183 mm
    Height: 259 mm
    Thickness: 36 mm
    Weight: 1,134 g
    Language
    English
    ISBN
    ISBN 13: 9780471152804
    ISBN 10: 0471152803
    Classifications

    B&T Merchandise Category: GEN
    B&T Book Type: NF
    BIC E4L: FIN
    B&T Modifier: Region of Publication: 01
    B&T Modifier: Subject Development: 20
    Nielsen BookScan Product Class 3: S4.9
    B&T Modifier: Academic Level: 05
    B&T General Subject: 180
    BIC subject category V2: KFFM2
    Ingram Subject Code: BE
    Libri: I-BE
    LC subject heading:
    DC21: 332.632
    BISAC V2.8: BUS036000
    Warengruppen-Systematik des deutschen Buchhandels: 17870
    LC subject heading: ,
    DC22: 332.645
    B&T Approval Code: A47504500
    DC22: 332.64/5
    LC subject heading:
    BISAC V2.8: BUS036040
    LC classification: HG6024.A3T, HG6024.A3 T32 1997
    Thema V1.0: KFFM
    Publisher
    John Wiley and Sons Ltd
    Imprint name
    John Wiley & Sons Inc
    Publication date
    23 January 1997
    Publication City/Country
    New York
    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.
    Back cover copy
    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 dynamicallyDynamic 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-Societe Generale"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
    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.