| 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 |
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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)
|
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Hedging (Finance)
|
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Options (Finance)
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| LC no. |
96034283 |
| ISBN |
0471152803 (cloth : acid-free paper) |
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