W FINANCIAL ENGINEERING. DINAMIC. HEDGING. MANAGING. VANILLA AND . EXOTIC OPTIONS. Nassim Taleh. Page 2. Page 3. Page 4. Page 5. Page 6. Dynamic Hedging: Managing Vanilla and Exotic Options John Wiley & Sons, Jan 14, – Business & Economics – pages . Wiley finance editions. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to Dynamic Hedging: Managing Vanilla and Exotic Options.

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Replete with helpful tools, market anecdotes, and at—a—glance risk management rules, Dynamic Hedging, Revised Edition is a comprehensive reference to the complexities of the options market that provides clear explanations of all the various forms of risk. Fills a big gap in investment literature — the only book to share complex options trading strategies and advanced risk management methods with 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.

Taleb successfully bridges the gap between the academic and the real world. Want to Read saving…. Taleb does manage to point out convincingly by beating you over the head with it for pages that nonlinear instruments carry with them risks that linear ones do not. The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner’s environment.

Dynamic Hedging: Managing Vanilla and Exotic Options – Nassim Nicholas Taleb – Google Books

Published January 14th by Wiley first published December 31st 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. In many ways, his is worse.


If he had just held the scimitar aloft and said, “let us slay the black swan,” then I assume that lots of quants would have been there with him sparking up the torches and sharpening the pitchforks. Open Preview See a Problem? Learn more about WileyTrading. Taleb and Wilmott to be satanic hors d’oeuvres until the end of days? Taleb is the author of a multivolume essay, the Incerto The Black Swan, Fooled by Randomness, Antifragile, and Skin in the Game an investigation of opacity, luck, uncertainty, probability, human error Nassim Nicholas Taleb spent 21 years as a risk taker quantitative trader before becoming a flaneur and researcher in philosophical, mathematical and mostly practical problems with probability.

In their blindingly narcissitic quest to prove to the world that they are smarter than their peers, they have done more than any source since “Revenge of the Nerds” to perpetuate the myth that people schooled in the mathematical sciences can’t tie their own shoes without an M. New tools to detect risks, such as higher moment analysis,topography exposure, and nonparametric techniques. However, I opened this book again many years later, after I had been working as a practitioner on a trading floor for many years, and found most of it utter nonsense.

This book is not without a following, which to me is very odd. Written to provide professionals and individuals with the most vaniola thinking from the best minds in the industry, it is no wkley that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Dynamic Hedging is an indispensable and definitive reference for market makers, academics, finance students, risk managers, and regulators. A little technical in parts. Dynamic Hedging is an indispensable and definitive reference formarket makers, academics, finance students, risk managers, andregulators.

Dynamic Hedging: Managing Vanilla and Exotic Options by Nassim Nicholas Taleb

Still, the amount of intuition garnered about how to deal with, or even think about such things contained in Dynamic Hedging is tiny compared with, for example, the books by Sheldon Natenberg or Lawrence G. Module E The ValueatRisk. No eBook vanikla Amazon. Gamma and Shadow Gamma. Please read our Privacy Policy.


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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.

Account Options Sign in. Module F Probabilistic Rankings in Arbitrage. Taleb began his financial mathematics career in several of New York City’s Wall Street firms before becoming a scholar in the epistemology of chance events, randomness, and the unknown.

Dynamic Hedging: Managing Vanilla and Exotic Options

Taleb received his bachelors and masters degree in science from the University of Paris. 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.

Do you remember reading The Divine Comedy and getting finally to the part where the two poets apparently on an extended smoke break from their barista jobs in Brooklyn get to the ninth circle of Hell only to think to yourself, “Brutus and Cassius? Compound, Choosers, and Higher Order Options. Module B Risk Hedginf Explained. To see what your friends thought of this book, please sign up. Theta and Minor Greeks.