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. It is instrumental for both beginning and experienced traders. 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. If the dot-com bubble was an age of unabashed risk-taking, the prolonged hangover from that binge has fostered a period of risk aversion; this snappily titled volume is a detailed text of tools that 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 Version papier du livre. Managing Vanilla and Exotic Options. Dynamic Hedging is the definitive source on derivatives risk. The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner's environment.

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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 definitive book on options trading and risk management "If pricing is a science and hedging is an art, Taleb is a virtuoso.

Introduction to the Instruments. Market Making and Market Using. Liquidity and Liquidity Holes. Arbitrage and the Arbitrageurs. Compound Choosers and Higher Order Options.

Lookback and Asian Options. Gamma and Shadow Gamma. Vega and the Volatility Surf ace. Theta and Minor Greeks.

The Greeks and Their Behavior. Fungibility Convergence and Stacking. Some Wrinkles of Option Markets.

Trading and Hedging Exotic Options. Module A Brownian Motion on a Spreadsheet a Tutorial.

Module B Risk Neutrality Explained. A Graphical Case Study.

Wiley: Dynamic Hedging: Managing Vanilla and Exotic Options - Nassim Nicholas Taleb

Module E The ValueatRisk. Module F Probabilistic Rankings in Arbitrage. Module G Option Pricing. From Statistical Physics to He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago.

Taleb was inducted in February in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph. Theory of Financial Risk and Derivative Pricing: