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Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance)

By Nassim Nicholas Taleb
MRP: Rs.7,537.00 You save: Rs.1,884.00 (24%)
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Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) is an extensive guide to derivatives risk and risk management, written from the point of view of the practitioner.

This book covers both the traditional and unconventional options in hedging. Written by an experienced trader, the author presents the subject from the perspective of the market maker and arbitrage operator. It defines a practical, real-world methodology for managing portfolios with nonlinear security.

The book explains generalised options, covering all instruments with convex payoffs, including a trader's potential bonus. The author also discusses more exotic options like barrier, binary and multi asset options. He also provides ways to take into account the inherent risks.

The book covers various market-dynamic concepts, including portfolio insurance, liquidity holes, fat tails, squeezes, Garch curve evolution, volatility surface, correlation instability, static option replication and regime shifts.

This book also covers the basic mathematics of derivatives like Ito's lemma, Brownian motion, the Girsanov change of measure, numeraire paradox and the Feynman-Kac solution. Because a large share of market exposure cannot be clearly defined through mathematical models, the author presents both on-model and off-model derivative risks.

Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) is a useful resource for students, market makers, academics, regulators and risk managers. This book was published by John Wiley and Sons in 1997. This derivatives risk and risk management guide is available in hardcover.


Nassim Nicholas Taleb
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