Taleb Dynamic Hedging. (Wiley Finance)

ISBN 13: 9780471152804

Dynamic Hedging. (Wiley Finance)

 
9780471152804: Dynamic Hedging. (Wiley Finance)

Book by Taleb Nassim Nicholas

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Reseña del editor:

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-Society GARCH "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

Biografía del autor:

Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

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Descripción John Wiley and#38; Sons, 1997. HRD. Estado de conservación: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería IP-9780471152804

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Descripción John Wiley and Sons Ltd, United States, 1997. Hardback. Estado de conservación: New. 1. Auflage. 259 x 183 mm. Language: English . Brand New Book. 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-Society GARCH 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. Nº de ref. de la librería AAU9780471152804

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Nassim Nicholas Taleb
Editorial: John Wiley and Sons Ltd, United States (1997)
ISBN 10: 0471152803 ISBN 13: 9780471152804
Nuevos Tapa dura Primera edición Cantidad: 1
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Descripción John Wiley and Sons Ltd, United States, 1997. Hardback. Estado de conservación: New. 1. Auflage. 259 x 183 mm. Language: English . Brand New Book. 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-Society GARCH 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. Nº de ref. de la librería AAU9780471152804

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Taleb, Nassim Nicholas
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Descripción Wiley, 2017. Hardcover. Estado de conservación: New. This item is printed on demand. Nº de ref. de la librería 0471152803

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Descripción John Wiley and#38; Sons, 1997. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FW-9780471152804

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Taleb, Nassim Nicholas
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ISBN 10: 0471152803 ISBN 13: 9780471152804
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Descripción John Wiley and Sons Ltd, 1997. Estado de conservación: New. 1997. 1st Edition. Hardcover. 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. Series: Wiley Finance. Num Pages: 528 pages, Illustrations. BIC Classification: KFFM2. Category: (P) Professional & Vocational. Dimension: 259 x 191 x 29. Weight in Grams: 1150. . . . . . . Nº de ref. de la librería V9780471152804

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Nassim Nicholas Taleb
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Descripción Wiley 1997-01-23, New York |Chichester, 1997. hardback. Estado de conservación: New. Nº de ref. de la librería 9780471152804

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