动态保值 Dynamic Hedging: Managing Vanilla and Exotic Options

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动态保值：管理普通期权和奇异期权
by Nassim Nicholas Taleb
Publisher: Wiley | ISBN: 0471152803 | edition 1997 | PDF | 515 pages | 21.16 mb



Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedgefund operator, and a fellow at the Courant Institute of MathematicalSciences of New York University. He has held a variety of seniorderivative trading positions in New York and London and worked as anindependent floor trader in Chicago. Dr. Taleb was inducted in February2001 in the Derivatives Strategy Hall of Fame. He received an MBA fromthe Wharton School and a Ph.D. from University Paris-Dauphine.


Dynamic Hedging is the definitive source on derivatives risk. Itprovides a real-world methodology for managing portfolios containingany nonlinear security. It presents risks from the vantage point of theoption market maker and arbitrage operator. The only book aboutderivatives risk written by an experienced trader with theoreticaltraining, it remolds option theory to fit the practitioner'senvironment. As a larger share of market exposure cannot be properlycaptured by mathematical models, noted option arbitrageur Nassim Talebuniquely covers both on-model and off-model derivatives risks.

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关键词：Managing options Dynamic vanilla hedging Managing Dynamic Exotic vanilla hedging

1# zhaohailei

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