NASSIM TALEB – DYNAMIC HEDGING

The definitive source of derivatives risk is Dynamic Hedging. It provides a methodology for managing portfolios. There are risks from the vantage point of the option market maker. The only book about derivatives risk written by an experienced trader is based on option theory. Nassim Taleb covers both on–model and off–model derivatives risks, as a larger share of market exposure cannot be properly captured by mathematical models.

The author talks about vital issues in plain English.

• The generalized option, which encompasses all instruments with convex payoff, including a trader′s potential bonus.
• The techniques for trading exotic options, including binary, barrier, multiasset, and Asian options, as well as methods to take into account the wrinkles of actual, non–bellshaped distributions.
• Market dynamics viewed from the practitioner′s vantage point, including liquidity holes, portfolio insurance, squeezes, fat tails, volatility surface, GARCH, curve evolution, static option replication, correlation instability, Pareto–Levy, regime shifts, autocorrelation of price changes, and the severe flaws in the value at risk method.
• New tools to detect risks, such as higher moment analysis, topography exposure, and nonparametric techniques.
• The path dependence of all options hedged dynamically.

There are helpful tools, market anecdotes, at–a–glance risk management rules, and important definitions in Dynamic Hedging. There are modules in the book in which the fundamental mathematics of derivatives are presented.

Dynamic Hedging is a must have reference for market makers, academics, finance students, risk managers, and regulators.

There is a book on options trading and risk management.

Bruno Dupire is the Head of swaps and options research at Paribas Capital Markets.

The only book on how options trade is this one.

The gap between what the best traders know and what the best scholars can prove is bridged by Dynamic Hedging.

The most comprehensive, insightful and intuitive work on the subject. It is important for both beginners and experienced traders.

A tour de force. A book of great practical and theoretical value was found. The gap between the academic and real world is bridged by Taleb. Well written and interesting. The chapters are worth a fortune to any current or prospective derivatives trader.

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