Managing vanilla and exotic options by nassim nicholas taleb nonfiction business, economics, psychology 0 written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, realworld methodology for monitoring and managing all the risks associated with portfolio. Bruno dupire, head of swaps and options research,paribas capital markets. The article focuses on selected aspects of risk management in agricultural business with the aim to discuss and compare different hedging methods which are relevant for managing the commodity. This book attempts a scientific nonsucker approach to risk and probability.
The black scholes argument black and scholes, 1973. Tricks and heuristically derived methodologies in option trading and risk. Dynamic hedging managing vanilla and exotic options written by a leading options trader and derivatives risk advisor to global banks and exchanges this book provides a practical real world methodology for monitoring and managing all the risks associa. Taleb, why we have never used the black scholes merton. Dynamic hedging is an indispensable and definitive reference for market makers, academics, finance students, risk managers, and regulators. Pdf on jan 1, 2006, doriana ruffino and others published e.
Risk neutral option pricing with neither dynamic hedging nor complete markets, a measuretheoretic proof nassim nicholas taleb. Extreme risk initiative nyu school of engineering working paper series unique option pricing measure with neither dynamic hedging nor complete markets nassim nicholas taleb. Dynamic hedging corresponds to any discrete time self financing strategy pair countable sequence qti, btii0 n,r x r where q ti is the quantity of units or shares of the primitive asset s held at time ti, t0. Derman and taleb the issusions of dynamic hedging, 2005 uncover a seeming. Written by a leading options trader and derivatives risk advisor to global. Merton, 1973 is held to allow riskneutral option pricing thanks to dynamic hedging.
To learn more about his morning lab and bettertrades, visit. Certified hedge fund professional assistant portfolio manager certified hedge fund pro 0 helpful. Pdf why we have always used the blackscholesmerton option. Dynamic hedging a strategy that involves rebalancing hedge positions as market conditions change. Unique option pricing measure with neither dynamic hedging nor. It provides a realworld methodology for managing portfolios containing any nonlinear security. Former option trader school of engineering, nyu abstractproof that under simple assumptions, such as con. Managing vanilla and exotic options by nassim nicholas taleb dynamic hedging is the definitive source on derivatives risk.
In particular the note upgrades the risk neutral replication and no. Managing vanilla and exotic options wiley finance book 64. The definitive book on options trading and risk management if pricing is a science and hedging is an art, taleb is a virtuoso. Risk neutral option pricing with neither dynamic hedging. Unlike other books that offer risk management for corporate treasurers, dynamic hedging targets the realworld needs of professional traders and money. Pdf hedging techniques in commodity risk management. Decision theory, risk, probability institutions new york university tandon school of engineering current may 2015, university of massachusetts amherst, courant institute of mathematical sciences. This book is about hedging the risks of standard and exotic options.378 1060 854 863 400 352 996 53 942 527 44 1068 469 1466 256 621 1354 500 323 1224 921 1387 1592 873 576 358 1471 690 750 801 244 1047 835 1248 215 1331 735 1050 1212 791 249 1278 652 1424 706 1251 472