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Dynamic Hedging Managing Vanilla and Exotic Options (Wiley Finance)
ISBN: 0471152803     Date Published: 1997-01-14     Author(s): Nassim Nicholas Taleb
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Hardcover
Wiley
528 Pages
 
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06/20/2013 01:25:50
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Editorial Review - Book Description:
Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedging and arbitrage for professional traders and money managers

Watch 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.
 
Customer Review:
Total Reviews: (50)
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72 of 76 People found the following review helpful.

Derivatives Theory meets Practice, March 7, 2004 ByChristopher Hefele (Lawrenceville, NJ United States) - See all my reviews This review is from: Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) (Hardcover) This book provides a healthy dose of practical wisdom for options traders so that they don't blindly follow their mathematical models into oblivion. The author (Taleb) has a PhD in finance, but also has traded in the pits, he knows both theory and practice and where they diverge. Taleb focuses on hedging, which is a trader's main task when running a large portfolio of options. Instead of using a flood of equations, Taleb relies on charts, graphs, and tables to make his points. Most of the equations & heavy mathematics are relegated to the appendix, presumably because quants (or software) will price the instruments. He covers the behavior of the Greeks (delta, gamma, vega, theta, etc.) for vanilla options as well as behavior of exotic options, and delves into the practicalities of volatility, hedging at discontinuities, and various other topics. The book is very popular on trading desks, and although I found it pretty good, I didn't find it to be outstanding. Also,...
 
49 of 51 People found the following review helpful.

A Book for Traders, February 23, 2000 ByNigel N. (London) - See all my reviews This review is from: Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) (Hardcover) I would not recommend this book to build up an academic background but rather to develop an understanding and an intuition of how dynamic options are. As a hedge fund options trader this book has been very valuable to me to validate my own observations and where necessary to correct those observations, which at the time seemed correct, but which the author through market experience manages to convey the proper meaning. This book is not only factual but also provides you with the right frame of mind to think about options. I believe you can also use the author's experience to boost your own practical experience.
 
30 of 32 People found the following review helpful.

novel, May 15, 2000 ByKevin Rosema - See all my reviews This review is from: Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) (Hardcover) Yes, this book could use an editor - there are all sorts of errors everywhere. While it makes the reading pretty tough, I think this is really one of the most useful books on options around. It's a little like Campbell/Lo/MacKinlay's book on empirical finance, but with a more experienced and real-life perspective. It's a bit refreshing after all the copycat books on option pricing that still don't contribute much beyond what Hull has written. No question, top 5 in practical finance reading.
 
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