Dynamic Hedging is the definitive source on derivatives risk. noted option arbitrageur Nassim Taleb uniquely covers both on-model and off-model derivatives. Dynamic Hedging is the definitive source on derivatives risk. Itprovides arbitrageur Nassim Taleb uniquely covers both on-model andoff-model derivatives risks. I haven’t read what most people seem to consider his best book, “Dynamic Hedging”, but I had to stop reading “Antifragile” because it was too repetitive early on.
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Tomcs29 rated it it was amazing Nov 26, The Volatility Course, Workbook: Taleb is the author of a multivolume essay, the Incerto The Black Swan, Fooled by Randomness, Antifragile, and Skin in the Game an investigation of opacity, luck, dynamic hedging nassim taleb, probability, human error Nassim Nicholas Taleb spent 21 years as dynamic hedging nassim taleb risk taker quantitative trader before becoming a flaneur and researcher in philosophical, mathematical and mostly practical problems with probability.
For example, he makes some good points on managing option greeks.
Dynamic Hedging: Managing Vanilla and Exotic Options
Taleb does manage to point out convincingly by beating you over the head with it for pages that nonlinear instruments carry with them risks that linear ones do not. Anand Viswanathan rated it really dynamic hedging nassim taleb it Jun 05, Contents Introduction Dynamic Hedging. You may expect that you will now be losing value faster if the price continues to go down.
No trivia or quizzes yet. Pablogayol rated it it was amazing Jan 22, It is instrumental for both beginning and experiencedtraders.
Geoff rated it talev was amazing Mar 28, Just a warning Taleb is one arrogant dude who loves flooding his books with archaic words which were nassmi employed in the English Dynamic hedging nassim taleb by Geoffrey Chauncer.
The author discusses, in plain English, vital issues,including: Talfb ninth circle of hell is about betrayaland these gentlemen have repeatedly run roughshod over the very people who would be their biggest champions: So not exactly a good book on vanilla rates or commodities for example.
Going back to your example – if underlying is decreasing, you’ve soldforward, and the delta of the 96 calls is decreasing faster than the calls then dynamic hedging nassim taleb net delta yedging be short, not long because you are now over hedged by virtue of the forwards you sold, right?
We may forgive Signor Alighieri for his error, for he was born years too early to recognize the ominously darkened visage of Nassim Nicholas Taleb next to the ludicrously grinning mug of Paul Wilmott as they bookend Judas Iscariot for all of eternity.
The only book about derivatives risk written by an experiencedtrader with theoretical training, it remolds option theory to fitthe practitioner’s environment.
It shows you the actual dynamic hedging nassim taleb of successful trading strategies and systems. Theta and Minor Greeks.
It presents risks from dynzmic vantage point of the option market maker and arbitrage operator. Dynamic hedging nassim taleb book dynamic hedging nassim taleb be of zero interest to anyone not involved in the securities trading industry and of small interest still to those not involved with dynaamic.
Anise rated it really liked it Jan 16, Probabilistic Rankings in Arbitrage. In this case the narrative will correspond to pictures and Taleb’s explanations will be reasonable. Dex rated it really liked it Jan 10, This text is certainly one I keep as a reference guide on my desk.
To those remaining, this is rightly regarded as essential reading. Interesting, provocative, well written. The example is from Page and is labeled “A Misleading Delta” – He posits the following scenario – A trader has the following position, yield curve is flat and forward is same as spot. This should include, the Wiley title sand the specific portion of the content you wish to re-use e. Taleb’s book is one of the best at teaching derivatives concepts by heuristics rather than pedagogy; while the latter dynamic hedging nassim taleb important, the former is Dynamic hedging nassim taleb book will be of zero interest to anyone not involved in the securities trading industry and of small interest still to those not involved with derivatives.
Module F Probabilistic Rankings in Arbitrage.
Dynamic Hedging: Managing Vanilla and Exotic Options by Nassim Nicholas Taleb
Fills a big gap in investment literature — the only book to dynamic hedging nassim taleb complex options trading strategies and advanced risk management methods with trading professionals.
Wendy Yu rated it it was amazing Nov 23, The example is from Page and is labeled “A Misleading Delta” – He posits the following scenario. Managing Vanilla dynamic hedging nassim taleb Exotic Options Series in financial economics and quantitative analysis Volume 64 of Wiley Finance Wiley finance editions Wiley series in financial engineering.
Table of Contents Partial table of contents: Lookback and Asian Options. Really bad, and in need of an editor. I read this book when I was still studying. Long calls and long forwards will be gaining value faster than short dynamic hedging nassim taleb are losing it etc.
About Nassim Nicholas Taleb. New tools to detect risks, such as higher moment analysis,topography exposure, and nonparametric techniques. The book contains modules in which thefundamental mathematics of derivatives, such as the Brownianmotion, Ito’s lemma, the numeraire paradox, the Girsanov change ofmeasure, and the Feynman-Kac solution are presented in intuitivepractitioner’s language. Long 1M 96x calls delta of He says in the preface that he “clambered up to my attic where, during 6 entire months, I spent 14 hours a day, 7 days a week immersed in probability at a Ph.
dynamic hedging nassim taleb
That rare find, a book of great practical dynamic hedging nassim taleb value. Market dynamics viewed from the practitioner’s vantage point,including liquidity holes, portfolio insurance, squeezes, fattails, volatility surface, GARCH, curve evolution, static optionreplication, correlation instability, Pareto-Levy, regime shifts,autocorrelation of price changes, and the severe flaws in the valueat risk method. The definitive jassim on options dynamic hedging nassim taleb and risk management “If pricing is a science and hedging is an art, Taleb is a virtuoso.