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Dynamic Hedging: Managing Vanilla and Exotic Options

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.

Từ khóa: value at risk method, hedged dynamically, managing vanilla, exotic options, dynamic hedging, portfolio insurance, liquidity holesb, bảo hiểm danh mục đầu tư

516 p tieuhoa 17/01/2013 296 2

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