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Dynamic hedging managing vanilla and exotic options Nassim Taleb.

By: Taleb, Nassim Nicholas, 1960-.
Series: Wiley series in financial engineering: New York John Wiley & Sons ©1997Description: xx, 506 páginas ilustrado 26 cm.ISBN: 0471152803.Subject(s): Options (finance) | Hedging (finance) | Derivative securitiesDDC classification: 332.645
Contents:
Introduction: Dynamic Hedging -- Introduction to the Instruments -- The Generalized Option -- Market Making and Market Using -- Liquidity and Liquidity Holes -- Arbitrage and the Arbitrageurs -- Volatility and Correlation -- Adapting Black-Scholes-Merton: The Delta -- Gamma and Shadow Gamma -- Vega and the Volatility Surface -- Theta and Minor Greeks -- The Greeks and Their Behavior -- Fungibility, Convergence, and Stacking -- Some Wrinkles of Option Markets -- Bucketing and Topography -- Beware the Distribution -- Option Trading Concepts -- Binary Options: European Style -- Binary Options: American Style -- Barrier Options (I) -- Barrier Options (II) -- Compound, Choosers, and Higher Order Options -- Multiasset Options -- Minor Exotics: Lookback and Asian Options -- Brownian Motion on a Spreadsheet, a Tutorial -- Risk Neutrality Explained --
Numeraire Relativity and the Two-Country Paradox -- Correlation Triangles: A Graphical Case Study -- The Value-at-Risk -- Probabilistic Rankings in Arbitrage -- 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.Summary: 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.
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.645 / T143d (Browse shelf) Ej.1 Available 8000022248
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Incluye referencias bibliográficas p. 490-497) e índice.

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.

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.

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