Title: Dynamic hedging : managing vanilla and exotic options /
Authors: Taleb, Nassim Nicholas, 1960-
Publisher: John Wiley & Sons,
Year: 1997
Subjects: Options (Finance); Hedging (Finance); Derivative securities.; Exotic options (Finance)
Abstract: "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." --Book Jacket.
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.