ISBN-10:
0471152803
ISBN-13:
9780471152804
Pub. Date:
01/28/1997
Publisher:
Wiley
Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options / Edition 1

Dynamic Hedging:(Wiley Financial Engineering Series) Managing Vanilla and Exotic Options / Edition 1

by Nassim Nicholas Taleb

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Product Details

ISBN-13: 9780471152804
Publisher: Wiley
Publication date: 01/28/1997
Series: Wiley Finance Series , #64
Pages: 528
Sales rank: 658,595
Product dimensions: 7.38(w) x 10.10(h) x 1.20(d)

About the Author

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.

Table 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.

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