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Dynamic Hedging: Managing Vanilla and Exotic Options
Download Dynamic Hedging: Managing Vanilla and Exotic Options
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From the Publisher
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. Fills a big gap in investment literature--the only book to share complex options trading strategies and advanced risk management methods with trading professionals.
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From the Back Cover
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 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
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Product details
Hardcover: 528 pages
Publisher: Wiley; 1 edition (January 14, 1997)
Language: English
ISBN-10: 0471152803
ISBN-13: 978-0471152804
Product Dimensions:
7.3 x 1.3 x 10 inches
Shipping Weight: 2.5 pounds (View shipping rates and policies)
Average Customer Review:
4.4 out of 5 stars
43 customer reviews
Amazon Best Sellers Rank:
#206,470 in Books (See Top 100 in Books)
Taleb is one arrogant dude who loves flooding his books with archaic words which were last employed in the English Language by Geoffrey Chauncer. But alas, Dynamic Hedging is a strong advanced text which goes through many nuanced topics. For example, he makes some good points on managing option greeks. Some chapters I really enjoyed which are hugely important in practice that you don't learn in any classroom: soft American options, discrete delta vs continuous delta, fungibility. Just a warning that you might have to read over sections multiple times before you digest ideas.For example, for american options, you can tend to think of the early exercise having some sensitivity to interest rates (as rates go higher, it becomes more optimal to exercise puts and less optimal to exercise calls), so in some circumstances, the early exercise provision of american option is actually an option on rates. Also, every mathematician teaches delta as a continuous derivative d[option value]/d[spot], but really what's important is to the know the delta at discrete intervals since no one hedges continuously and also since in a real options book the greek sensitivities might flip or go through extreme changes over discrete intervals. Just some great material which makes you think hard.The structure of the book jumps over the place, but mainly Taleb is focused on options, volatility, and exotics. So not exactly a good book on vanilla rates or commodities for example.This text is certainly one I keep as a reference guide on my desk. As a sign of its value, everytime I read it, I do learn something new. I rated it highly based solely on the excellent and juicy material but the writing style is really horrible. Not for beginners but a great read for anyone interested in the deep details of trading derivatives.
Not a page turner. This is one of those books that requires the reader to work hard for the gems hidden within, but it is Taleb who has done the really hard work of organizing information in a way that makes the gems accessible to the reader in the first place. This book is more about exploring and explaining effective thought process in risk management than it is a "how to" manual. I am reminded of the John Houseman character in "the Paper Chase" TV series who says: "you come into the class with a head full of mush. You teach yourselves the law, I teach you to think like a lawyer." This book teaches the reader to think like a trader.
This is really the best book about options in general and dynamic headging in particular. Not possible to comparable to any other... far better!
Great Taleb style! In this excellent and advanced book the author, as an active trader, reveals his massive knowledge about options. I did appreciate the "Option Wizard" informational sections because they really help at explaining concepts. Also, plenty of illustrations and stories from real life! Yet, this book is not for beginners whereas some understanding of option theory is required. Absolutely a must-read to get options treading to the next level. The best book on options ever!
This isn't so much a review as an inquiry -I'm still working through this book, but I've noticed that it is replete with algebraic errors. Taleb doesn't always go through every step of his calculations, so they're difficult to follow.Does anyone else notice these errors or am I getting caught in the algebra? An example is on page 38 towards the top:He says that 12,500,000/.985 is 1,269,000. Even with the rounding (shaving off the 355), I'd say he's off by a factor of 10. Shouldn't the answer by 12,690,000? To confirm this, in the next paragraph he writes that a 1 cent rise in the futures price will yield $125,000 in profits on the future (12,500,000*.01) or $126,900 on the forward hedge. Intuitively, it seems that to get $126,900, you could divide $125,000 by .985 or multiply 12,690,000 (the answer you should've previously arrived at) by .01.There are other errors like this throughout the book - anyone else notice them?
The book is a difficult read the first time around while you get used to Taleb's style. It is because his style is so refreshingly different from everything published on the subject before and 10 years later I don't see anything that comes close. If you are a beginner, get the basic option math down (Hull) then read Taleb, and be patient. I have the original edition and have read it several times from cover to cover and I don't see the "numerous" errors several reviewers are complaining about. There are a few very obvious typos towards the end of the book, but all the conclusions and intuition is right. If you think it's wrong, it's most likely you, not the book. Go reread it and think about it, you will get it and you will want to thank Taleb for making you think.I am a vol trader and I use this book to filter out idiots. If this book ticks you off, you don't have a makeup of a trader. Do yourself a favor and find something else to do. People who give this book a negative review are most frequently quants. His criticism towards guants has a purpose - it is to make you as an impressionable young trader aware that a person with a PhD does not have all the answers, and that you should not be intimidated and use your own head. If this ticks quants off then so be it. The book is not for them.
Although this book was published over ten years ago, it is still a very excellent book about risk management rlated to exotic options. This book shares many insight ideas from practioner's point of view, which is seldom seen in other books. The only pity is that there are some minor typo. However, if the reader has some understanding of option theory, it is easily corrected by reader themselves. As a word, this book is very worth reading!
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