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Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options Book

Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options
Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options, 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 o, Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options has a rating of 3 stars
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Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options, 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 o, Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options
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  • Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options
  • Written by author Nassim Nicholas Taleb
  • Published by Wiley, John & Sons, Incorporated, January 1997
  • 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 o
  • 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
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Authors

Introduction: Dynamic Hedging1
1Introduction to the Instruments9
2The Generalized Option38
3Market Making and Market Using48
4Liquidity and Liquidity Holes68
5Arbitrage and the Arbitrageurs80
6Volatility and Correlation88
7Adapting Black-Scholes-Merton: The Delta115
8Gamma and Shadow Gamma132
9Vega and the Volatility Surface147
10Theta and Minor Greeks167
11The Greeks and Their Behavior191
12Fungibility, Convergence, and Stacking208
13Some Wrinkles of Option Markets222
14Bucketing and Topography229
15Beware the Distribution238
16Option Trading Concepts256
17Binary Options: European Style273
18Binary Options: American Style295
19Barrier Options (I)312
20Barrier Options (II)347
21Compound, Choosers, and Higher Order Options376
22Multiasset Options383
23Minor Exotics: Lookback and Asian Options403
Module ABrownian Motion on a Spreadsheet, a Tutorial415
Module BRisk Neutrality Explained426
Module CNumeraire Relativity and the Two-Country Paradox431
Module DCorrelation Triangles: A Graphical Case Study438
Module EThe Value-at-Risk445
Module FProbabilistic Rankings in Arbitrage453
Module GOption Pricing459
Notes479
Bibliography490
Index499


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Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options, 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 o, Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options

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Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options, 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 o, Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options

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Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options, 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 o, Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options

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