With the fully updated and expanded dynamic hedging, revised edition, readers will learn the proven methodologies for monitoring and managing all the risks associated with managing portfolios containing any nonlinear security. It presents risks from the vantage point of the option market maker and arbitrage operator. Nassim talebs barbell portfolio investment strategy. In dynamic hedging, you talk about an idea called modified theta, which is. Get free shipping on dynamic hedging by nassim nicholas taleb, from. The only complete resource addressing derivative risk. Taleb has also authored antifragile, the bed of procrustes and dynamic hedging. Some bs detecting papers that precede the project taleb, n.
Dynamic hedging is the definitive source on derivatives risk. My exposure to taleb probably comes a little earlier then most, prior to fbr and tbs, he wrote a book called dynamic hedging, considered pretty standard for derivatives traders. I recommend this book very highly for anyone involved in high maturity implementation of the cmmi people cmm models. This is an excerpt from nassim taleb s book dynamic hedging a book on option trading strategies page vii. Author nassim nicholas taleb discusses his book, the black swan in relation to predicting the future, learning from the consequences of the unknown, and the power of randomness. A strange overactive smearcampaigner, eric falkenstein, extremely innocent of probability, kept spreading all manner of disinformation about my work. Bruno dupire, head of swaps and options research, paribas capital markets. It is evident that he, along with surprisingly the entire chicago school, didnt seem to have a functioning model of the economy when qe was put in place. Gamma is the second derivative of the change in the option price to a change in the underlying asset price. Nassim taleb dynamic hedging best forex, trading, stock. In my opinion any aspiring options trader should read all of nassim talebs books.
Managing vanilla and exotic options by nassim nicholas taleb at indigo. The definitive book on options trading and risk management if pricing is a science and hedging is an art, taleb is a virtuoso. Some chapters i really enjoyed which are hugely important in practice that you dont learn in any classroom. You mention that losses from theta are generally worse than predicted because of this shadow theta vol will drop over time if market isnt. I hit chapter 8 on delta and am completely lost on a certain example he gives. Jun 22, 2019 in my opinion any aspiring options trader should read all of nassim talebs books. What nassim taleb is investing in nassim talebs hedging strategy against very uncertain inflation rates.
Destined to become a market classic, dynamic hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers watch the professionals. Things that gain from disorder, offers 61 reading recommendations in his own words. Presenting risk from the vantage point of the option market maker and arbitrage operator, this book remoulds. The book jacket proclaims a text in plain english, but the book is steeped in jargon and concepts. The fat tails statistical project nassim nicholas taleb. Use features like bookmarks, note taking and highlighting while reading dynamic hedging. Help with understanding point from nassim talebs book. Influence, gender, and defying social conventions with friedrich nietzsche and jane austen reading time 5 minutes. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. The barbell investing strategy, advocated by nassim taleb, can take many forms and may be structured in such a way that some of the holdings take significant well above average advantage of market movements, while another part of portfolio is very low. Managing vanilla and exotic options wiley finance book 64. Mar, 2019 in nassim taleb book antifragile he emphasizes that if you see a fraud and do not say fraud, you are a fraud, i am thus compelled to note that antifragile is a fraud because its theme is based on intentional misdirection. Mar, 2017 nassim taleb, the polarizing author of bestselling books the black swan and antifragile.
So im reading through dynamic hedging to start trying to learn option theory better. For example, he makes some good points on managing option greeks. Dec 31, 1996 this book is only interesting for the anecdote postings that taleb makes everything else is either ego inflation or wishywashy nonsense that doesnt really feel like it s in any way connected to dynamic hedging, which is what this book is about. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. We use a simple example to illustrate the calculation of shadow gamma as describe by taleb in dynamic hedging. Sep 21, 2017 the barbell investing strategy, advocated by nassim taleb, can take many forms and may be structured in such a way that some of the holdings take significant well above average advantage of market movements, while another part of portfolio is very low risk and isnt affected by major market moves.
In nassim taleb book antifragile he emphasizes that if you see a fraud and do not say fraud, you are a fraud, i am thus compelled to note that antifragile is a fraud because its theme is based on intentional misdirection. Also, please no documentary films, newspaper articles, book chapters, and interviews beyond book launches. 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. How does well does nicholas nassim talebs antifragile match. I have read all of the well known ones fooled by randomness, the black swan, bed of procrustes, antifragile, skin in the game, but not dynamic hedging. In the third installment of our fs bar series, philosopher friedrich nietzsche and writer jane austen sit down for a drink and discuss each others work, gender, philosophy, and try to find common ground. Unlike other books that offer risk management for corporate treasurers, dynamic hedging targets the realworld needs of professional traders and money managers. Full text of fooled by randomness nassim taleb see other formats.
The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner. This book is only interesting for the anecdote postings that taleb makes everything else is either ego inflation or wishywashy nonsense that doesnt really feel like its in any way connected to dynamic hedging, which is what this book is about. Another book by taleb in a similar vein is the black swan this is an earlier book, and again very interesting to read. This is an excerpt from nassim talebs book dynamic hedging a book on option trading strategies page vii. Mar 24, 2008 author nassim nicholas taleb discusses his book, the black swan in relation to predicting the future, learning from the consequences of the unknown, and the power of randomness. It provides a realworld methodology for managing portfolios containing any nonlinear security. Booktopia dynamic hedging, managing vanilla and exotic. The other books in the series are fooled by randomness, antifragile, skin in the game, and the bed of procrustes. Managing vanilla and exotic options wiley finance book 64 kindle edition by taleb, nassim nicholas. Jan 10, 20 another book by taleb in a similar vein is the black swan this is an earlier book, and again very interesting to read.
Managing vanilla and exotic options nassim nicholas taleb, author. Download it once and read it on your kindle device, pc, phones or tablets. Nassim taleb, the polarizing author of bestselling books the black swan and antifragile. Static and dynamic hedging nassim nicholas taleb bok. Question on an example from dynamic hedging by nassim taleb. But alas, dynamic hedging is a strong advanced text which goes through many nuanced topics. Suppose he was long tail vol, what would have happened as the vol declined. The concept of skin in the game is very important to taleb and he is currently writing the fifth book of.
Buy dynamic hedging by nassim nicholas taleb with free. The black swan is a standalone book in nassim nicholas talebs landmark incerto series, an investigation of opacity, luck, uncertainty, probability, human error, risk, and decisionmaking in a world we dont understand. Nassim nicholas taleb find out how to protect your nest egg, why steve jobs was an artisan but elon musk isnt, and so much more. Free shipping and pickup in store on eligible orders. Dynamic hedging is an indispensable and definitive reference for market makers, academics, finance students, risk managers, and regulators. Learning options any good books or resources to recommend.
Taleb, the author of the black swan and antifragile, is the distinguished. Most examples in this book are presented as generic situations. So its very odd to me to see how hes kind of changed from that book to fbr, tbs, and antifragile. His 2007 book the black swan has been described by the sunday times as one of the twelve most influential.
Dynamic hedging nassim nicholas taleb bok 9780471152804. If viewing this as an email please click through to the post to view content. The example is from page 119 and is labeled a misleading delta he posits the following scenario a trader has the following position, yield curve is flat and forward is same as. Dec 15, 2016 5 portfolio principles derived from nassim taleb s incerto.
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