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Author Taleb, Nassim Nicholas, 1960-

Title Dynamic hedging : managing vanilla and exotic options / Nassim Taleb
Published New York : Wiley, [1997]


Location Call no. Vol. Availability
 MELB  332.645 Tal/Dhm  AVAILABLE
Description xx, 506 pages : illustrations ; 26 cm
Series Wiley series in financial engineering
Wiley series in financial engineering.
Contents Introduction: Dynamic Hedging -- 1. Introduction to the Instruments -- 2. The Generalized Option -- 3. Market Making and Market Using -- 4. Liquidity and Liquidity Holes -- 5. Arbitrage and the Arbitrageurs -- 6. Volatility and Correlation -- 7. Adapting Black-Scholes-Merton: The Delta -- 8. Gamma and Shadow Gamma -- 9. Vega and the Volatility Surface -- 10. Theta and Minor Greeks -- 11. The Greeks and Their Behavior -- 12. Fungibility, Convergence, and Stacking -- 13. Some Wrinkles of Option Markets -- 14. Bucketing and Topography -- 15. Beware the Distribution -- 16. Option Trading Concepts -- 17. Binary Options: European Style -- 18. Binary Options: American Style -- 19. Barrier Options (I) -- 20. Barrier Options (II) -- 21. Compound, Choosers, and Higher Order Options -- 22. Multiasset Options -- 23. Minor Exotics: Lookback and Asian Options -- Module A. Brownian Motion on a Spreadsheet, a Tutorial -- Module B. Risk Neutrality Explained
Module C. Numeraire Relativity and the Two-Country Paradox -- Module D. Correlation Triangles: A Graphical Case Study -- Module E. The Value-at-Risk -- Module F. Probabilistic Rankings in Arbitrage -- Module G. Option Pricing
Summary 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
Notes Bibliography: p490-497. _ Includes index
Bibliography Includes bibliographical references (pages 490-497) and index
Subject Derivative securities.
Exotic options (Finance)
Hedging (Finance)
Options (Finance)
LC no. 96034283
ISBN 0471152803 (cloth : acid-free paper)