The Resource Dynamic hedging : managing vanilla and exotic options, Nassim Taleb

Dynamic hedging : managing vanilla and exotic options, Nassim Taleb

Label
Dynamic hedging : managing vanilla and exotic options
Title
Dynamic hedging
Title remainder
managing vanilla and exotic options
Statement of responsibility
Nassim Taleb
Creator
Subject
Language
eng
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
Dewey number
332.64/5
Illustrations
illustrations
Index
index present
LC call number
HG6024.A3
LC item number
T35 1997
Literary form
non fiction
Nature of contents
bibliography
Series statement
Wiley series in financial engineering :
Label
Dynamic hedging : managing vanilla and exotic options, Nassim Taleb
Publication
Bibliography note
Includes bibliographical references (p. 490-497) and index
http://library.link/vocab/branchCode
  • zbnus
  • mel
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
Control code
000012665689
Dimensions
26 cm
Extent
xx, 506 p.
Isbn
9780471152804
Isbn Type
(cloth : acid-free paper)
Lccn
96034283 //r97
Other physical details
ill.
http://library.link/vocab/recordID
.b17876047
System control number
  • 33217006226766
  • (OCoLC)35198726

Library Locations

    • Deakin University Library - Melbourne Burwood CampusBorrow it
      221 Burwood Highway, Burwood, Victoria, 3125, AU
      -37.846510 145.115099
    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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