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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.
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Previews available in: English
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Edition | Availability |
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Dynamic hedging: managing vanilla and exotic options
1997, Wiley, John Wiley & Sons
in English
0471152803 9780471152804
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Edition Notes
Includes bibliographical references (p. 490-497) and index.
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- Created October 31, 2008
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August 6, 2024 | Edited by MARC Bot | import existing book |
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October 31, 2008 | Edited by ImportBot | add URIs from original MARC record |