Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance)

Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) | Nassim Nicholas Taleb | Quick Question

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Dynamic Hedging: M...

	Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) Nassim Nicholas Taleb Wiley, 1997 - 528 pages average customer review:based on 40 reviews view larger image
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highly recommended

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. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. 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 associated with portfolio management.

Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

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Revised edition?

Books-A_Million lists a revised edition, ISBN: 0471353477, with December, 2008, as a publication date. Their advance order price is $76.95.

Quick Question

This isn't so much a review as an inquiry -

I'm still working through this book, but I've noticed that it is replete with algebraic errors. Taleb doesn't always go through every step of his calculations, so they're difficult to follow.

Does anyone else notice these errors or am I getting caught in the algebra? An example is on page 38 towards the top:

He says that 12,500,000/.985 is 1,269,000. Even with the rounding (shaving off the 355), I'd say he's off by a factor of 10. Shouldn't the answer by 12,690,000? To confirm this, in the next paragraph he writes that a 1 cent rise in the futures price will yield $125,000 in profits on the future (12,500,000*.01) or $126,900 on the forward hedge. Intuitively, it seems that to get $126,900, you could divide $125,000 by .985 or multiply 12,690,000 (the answer you should've previously arrived at) by .01.

There are other errors like this throughout the book - anyone else notice them?

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Dynamic Hedging...goo stuff

Great book, very easy read as it is written in a conversational tone. Covers all the issues associated with derivative trading in an intuitive manner.

Excellent book, intuitive approach although not to be used for introductory purposes

Before starting as a trader I had studied Hull in college and took some 'advanced' investments classes. On the first day of work I was told to read 'Dynamic Hedging'.
My impression: Hull teaches you the (very) basics and Taleb gives you insight in the concepts that are truly relevant. However, do not expect to read it and get everything he writes. As it is written from a practicioner's point of view, things will probably only become cristal clear when you re-read it after spending a considerable amount of time in the dealing room.

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Outstanding

Taleb once again. Although you may require some knowledge on futures and option trading to understand the bottom of the story, it is nice book, light to read and usefull. If you trade on futures and options you should take a look inside, not becuase of the technical content but to have a close look at the man's ideas.

reviews: page 1, 2, 3, 4, 5, 6, 7, 8

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