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Zusatztext If the dot-com bubble was an age of unabashed risk-taking! the prolonged hangover from that binge has fostered a period of risk aversion; this snappily titled volume is a detailed text of tools that financial organizations can use to hedge even the most minute financial activity. Crafted by an option trader who's slugged it out in the international banking netherworld of derivatives risk! this book tears apart the heady instruments of risk management. This no modern financial history for the business-minded; rather! it's a recipe book for pointy-heads who live deep in the nervous system of the global financial system. Taleb explores the differences between European binary options! Asian options and American single binary options! including a case study on "the ravages of time." The book jacket proclaims a text "in plain English!" but the book is steeped in jargon and concepts targeted to a reader well familiar with the arcane world of the options market. Informationen zum Autor Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine. Klappentext Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managersWatch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management.Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine. Zusammenfassung 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. Inhaltsverzeichnis Introduction Dynamic Hedging 1 Part 1 Markets, Instruments, People 1 Introduction to the Instruments 9 2 The Generalized Option 38 3 Market Making and Market Using 48 4. Liquidity and Liquidity Holes 68 5 Arbitrage and the Arbitrageurs 80 6 Volatility and Correlation 88 Part II Measuring Option Risks 7 Adapting Black-Scholes-Merton: The Delta 115 8 Gamma and Shadow Gamma 132 9 Vega and the Volatility Surface 147 10 Theta and Minor Greeks 167 11 The Greeks and Their Behavior 191 12 Fungibility, Convergence, and Stacking 208<...
List of contents
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.
