tailieunhanh - Dynamic Hedging

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 | Dynamic Hedging MANAGING VANILLA AND EXOTIC OPTIONS Nassim Taleb JOHN WILEY SONS INC. New York Chichester Brisbane Toronto Singapore Weinheim Preface After closing about 200 000 option transactions1 that is separate option tickets over 12 years and studying about 70 000 risk management reports I felt that I needed to sit down and reflect on the thousands of mishedges I had committed. I clambered up to my attic where during 6 entire months I spent 14 hours a day 7 days a week immersed in probability theory numerical analysis and mathematical statistics at a . level . Then I began to write this book. Like George Soros2 1 believed in a greater uncertainty principle more acute than Heisenberg s that largely invalidates social science theories based on physics-like methodology and weakens the notion of modeling outside of the natural sciences. It ain t physics I kept warning my trainees throughout my career. My other argument against being scientific was that even if it were a science option theory while perhaps on the right track would be too young to be reliable. I then needed to warn the public and the regulators against taking an unseasoned and new field and applying some of its still misspecified models to reality. Many of the market risks that have been well known to traders since imperial Rome like squeezes and the snowballing have not yet been rediscovered by the scientific risk managers. I am convinced that the financial system is largely threatened by the proliferation of risk management advisory services run by former scientists who bullied their way into financial markets. My intention was to downgrade hedging and risk management from the status of science to that of a craft until further notice. This book is about hedging the risks of standard and exotic options as part of the larger framework of risk management. No road map was available since little has been written on this subject in contrast to the extensive literature for valuation

• Quản trị kinh doanh
• option arbitrageur
• financial insurance
• techniques for trading
• market dynamics
• liquidity holes
• risk method