Dynamic Hedging: Managing Vanilla and Exotic Options

890 Pages·2007·20.41 MB·English

by  Nassim Nicholas Taleb

MORE PRAISE FOR DYNAMIC HEDGING
"A truly unique work ... enjoyable, practical, and, for risk managers,
essential reading."
-A. Kreysar
Head Foreign Currency Options Trader SBC Warburg, a division of
Swiss Bank Corp.
"A fascinating and impacting book, it entirely changed my course on
hedging."
-Nicole El Karoui
Professor of Probability Theory and Mathematical Finance Ecole
Polytechnique and Universite Paris 6
"Truly oriented to the reader ... Does not get bogged down in the
mathematical formulas. Dynamic Hedging has enlightened me on the
hidden risks of exotic options."
-Robert K. Friedberg Chief Currency Options Trader Credit
Lyonnais
"Dynamic Hedging is the only book that teaches risk management in a true
world environment, not in an unrealistic academic framework. It is
mandatory reading for risk managers and consultants."
-J. P. Frignet
Chairman
KPMG-Strategic Risk Management "I laughed, I cried, I hedged
Dgamma Dvol."
-David DeRosa
Quadrangle Investments, LLC
"A rare combination of trading experience and intellectual insight."
-James R. Piper, Jr.
Partner
O'Connell & Piper Associates "A must study for both option traders
and more importantly for risk managers. There are a number of
major institutions in dire need of this work."
-Brian P. Monieson
Chairman
GNP Commodities and Past Chairman, Chicago Mercantile
Exchange
"This is absolutely the best book that has been written on trading and
hedging derivatives. This is the essential missing link for students of
finance, who wish to enter the 'real world."'
-S. Rao
Meridian Derivatives Consultants Inc.
"Dynamic Hedging deals with issues in risk management and valuation
from an intuitive perspective that only a pioneering practitioner and
researcher like Taleb can provide. Taleb has done a masterful job of
addressing the fundamental risk management dilemma of reconciling
differences in the realworld price behavior with that expected by theoretical
modeling. He combines anecdote with rational, brilliant insight to present a
powerful treatise on derivatives risk."
-Nicolas Hatzopoulos President
Derivatech Consulting Inc.

Wiley Series in Financial Engineering
Series Editor: Jack Marshall Managing Director of the International
Association of Financial Engineers Structured Financial Products John
C. Braddock
Derivatives for Decision Makers: Strategic Management Issues
George Crawford and Bidyut Sen Interest-Rate Option Models
Riccardo Rebonato
Derivatives Handbook: Risk Management and Control Robert J.
Schwartz and Clifford Smith, Jr.
Dynamic Hedging: Managing Vanilla and Exotic Options Nassim
Taleb
MANAGING VANILLA AND
EXOTIC OPTIONS
Nassim Taleb