Dynamic Hedging:Managing Vanilla and Exotic Options

Dynamic Hedging:Managing Vanilla and Exotic Options
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作者: (纳西姆·尼古拉斯·塔勒布)
出版社: Wiley
2007-01
ISBN: 9780471152804
定价: 861.10
装帧: 精装
开本: 其他
纸张: 胶版纸
页数: 528页
正文语种: 英语
  • Destinedtobecomeamarketclassic,DynamicHedgingistheonlypracticalreferenceinexoticoptionshedgingandarbitrageforprofessionaltradersandmoneymanagers

    Watchtheprofessionals.Fromcentralbankstobrokeragestomultinationals,institutionalinvestorsareflockingtoanewgenerationofexoticandcomplexoptionscontractsandderivatives.Butthepromiseofeverlargerprofitsalsocreatesthepotentialforcatastrophictradinglosses.Nowmorethanever,thekeytotradingderivativesliesinimplementingpreventiveriskmanagementtechniquesthatplanforandavoidtheseappallingdownturns.Unlikeotherbooksthatofferriskmanagementforcorporatetreasurers,DynamicHedgingtargetsthereal-worldneedsofprofessionaltradersandmoneymanagers.Writtenbyaleadingoptionstraderandderivativesriskadvisortoglobalbanksandexchanges,thisbookprovidesapractical,real-worldmethodologyformonitoringandmanagingalltherisksassociatedwithportfoliomanagement.

    NassimNicholasTalebisthefounderofEmpiricaCapitalLLC,ahedgefundoperator,andafellowattheCourantInstituteofMathematicalSciencesofNewYorkUniversity.HehasheldavarietyofseniorderivativetradingpositionsinNewYorkandLondonandworkedasanindependentfloortraderinChicago.Dr.TalebwasinductedinFebruary2001intheDerivativesStrategyHallofFame.HereceivedanMBAfromtheWhartonSchoolandaPh.D.fromUniversityParis-Dauphine. Nassim Nicholas Taleb has devoted his life to problems of uncertainty, probability, and knowledge and has led three careers around this focus, as a businessman-trader, a philosophical essayist, and an academic researcher. Although he now spends most of his time working in intense seclusion in his study, in the manner of independent scholars, he is currently Distinguished Professor of Risk Engineering at New York University's Polytechnic Institute. His main subject matter is "decision making under opacity," that is, a map and a protocol on how we should live in a world we don't understand.
    His books Fooled by Randomness and The Black Swan have been published in thirty-three languages.
    Taleb believes that prizes, honorary degrees, awards, and ceremonialism debase knowledge by turning it into a spectator sport.

      纳西姆·尼古拉斯·塔勒布,当前最令人敬畏的风险管理理论学者。沃顿商学院企管硕士,巴黎大学博士,目前任纽约大学理工学院杰出教授。曾在纽约和伦敦交易多种衍生性金融商品,也曾在芝加哥当过营业厅的独立交易员。2001年2月正式成为衍生性金融商品交易战略名人堂的一员。他在“9·11”之前大量买入行权价格很低,看似毫无价值的认沽权证,用一种独特的方式做空美国股市,直到恐怖分子劫持飞机撞向纽约世贸大楼,由此获利丰厚,一举成名。此次美国次贷危机爆发之前,他又先知先觉重仓做空,从中获利几百万美元。他的上一本畅销书《黑天鹅的世界》(Fooled by Randomness)以30种语言出版。 Partial table of contents:

    MARKETS, INSTRUMENTS, PEOPLE.

    The Generalized Option.

    Liquidity and Liquidity Holes.

    Volatility and Correlation.

    MEASURING OPTION RISKS.

    Gamma and Shadow Gamma.

    Theta and Minor Greeks.

    Fungibility, Convergence, and Stacking.

    Bucketing and Topography.

    Beware the Distribution.

    TRADING AND HEDGING EXOTIC OPTIONS.

    Binary Options: European Style.

    Compound, Choosers, and Higher Order Options.

    Multiasset Options.

    MODULES.

    Risk Neutrality Explained.

    Correlation Triangles: A Graphical Case Study.

    Probabilistic Rankings in Arbitrage.

    Option Pricing.

    Notes.

    Bibliography.

    Index.
  • 内容简介:
    Destinedtobecomeamarketclassic,DynamicHedgingistheonlypracticalreferenceinexoticoptionshedgingandarbitrageforprofessionaltradersandmoneymanagers

    Watchtheprofessionals.Fromcentralbankstobrokeragestomultinationals,institutionalinvestorsareflockingtoanewgenerationofexoticandcomplexoptionscontractsandderivatives.Butthepromiseofeverlargerprofitsalsocreatesthepotentialforcatastrophictradinglosses.Nowmorethanever,thekeytotradingderivativesliesinimplementingpreventiveriskmanagementtechniquesthatplanforandavoidtheseappallingdownturns.Unlikeotherbooksthatofferriskmanagementforcorporatetreasurers,DynamicHedgingtargetsthereal-worldneedsofprofessionaltradersandmoneymanagers.Writtenbyaleadingoptionstraderandderivativesriskadvisortoglobalbanksandexchanges,thisbookprovidesapractical,real-worldmethodologyformonitoringandmanagingalltherisksassociatedwithportfoliomanagement.

    NassimNicholasTalebisthefounderofEmpiricaCapitalLLC,ahedgefundoperator,andafellowattheCourantInstituteofMathematicalSciencesofNewYorkUniversity.HehasheldavarietyofseniorderivativetradingpositionsinNewYorkandLondonandworkedasanindependentfloortraderinChicago.Dr.TalebwasinductedinFebruary2001intheDerivativesStrategyHallofFame.HereceivedanMBAfromtheWhartonSchoolandaPh.D.fromUniversityParis-Dauphine.
  • 作者简介:
    Nassim Nicholas Taleb has devoted his life to problems of uncertainty, probability, and knowledge and has led three careers around this focus, as a businessman-trader, a philosophical essayist, and an academic researcher. Although he now spends most of his time working in intense seclusion in his study, in the manner of independent scholars, he is currently Distinguished Professor of Risk Engineering at New York University's Polytechnic Institute. His main subject matter is "decision making under opacity," that is, a map and a protocol on how we should live in a world we don't understand.
    His books Fooled by Randomness and The Black Swan have been published in thirty-three languages.
    Taleb believes that prizes, honorary degrees, awards, and ceremonialism debase knowledge by turning it into a spectator sport.

      纳西姆·尼古拉斯·塔勒布,当前最令人敬畏的风险管理理论学者。沃顿商学院企管硕士,巴黎大学博士,目前任纽约大学理工学院杰出教授。曾在纽约和伦敦交易多种衍生性金融商品,也曾在芝加哥当过营业厅的独立交易员。2001年2月正式成为衍生性金融商品交易战略名人堂的一员。他在“9·11”之前大量买入行权价格很低,看似毫无价值的认沽权证,用一种独特的方式做空美国股市,直到恐怖分子劫持飞机撞向纽约世贸大楼,由此获利丰厚,一举成名。此次美国次贷危机爆发之前,他又先知先觉重仓做空,从中获利几百万美元。他的上一本畅销书《黑天鹅的世界》(Fooled by Randomness)以30种语言出版。
  • 目录:
    Partial table of contents:

    MARKETS, INSTRUMENTS, PEOPLE.

    The Generalized Option.

    Liquidity and Liquidity Holes.

    Volatility and Correlation.

    MEASURING OPTION RISKS.

    Gamma and Shadow Gamma.

    Theta and Minor Greeks.

    Fungibility, Convergence, and Stacking.

    Bucketing and Topography.

    Beware the Distribution.

    TRADING AND HEDGING EXOTIC OPTIONS.

    Binary Options: European Style.

    Compound, Choosers, and Higher Order Options.

    Multiasset Options.

    MODULES.

    Risk Neutrality Explained.

    Correlation Triangles: A Graphical Case Study.

    Probabilistic Rankings in Arbitrage.

    Option Pricing.

    Notes.

    Bibliography.

    Index.
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