N.-Y., John Wiley & Sons, 1996. - 515p.
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).
‘‘Dynamic hedging’’ is more like medicine than biology. It is leaed by gaining practical experience as well as by studying published research. The wrinkles of the marketplace often dominate other complex issues, which can lead option theoreticians onto a wrong path. Traders' lore can only be transmitted through practice. This book will meld matters of practical (not necessarily anecdotal) importance with fundamental theory.
The major theme is to present traders and risk managers with the tools to navigate around the difficult notion of manufacturing financial products through book-running. This book will introduce the arcane world of dynamic monitoring of risks. The core of dynamic hedging includes:
- The need for a methodology for the implementation of the Black-Scholes-Merton replicating process for options or any other nonlinear security under the constraints imposed by the marketplace.
- The need to generalize the Black-Scholes-Merton framework to cover other parameters than the underlying security in the replicating process (like volatility or interest rates).
- The awareness that transaction costs and frequency can cause a departure from the canons of continuous time finance.
- The awareness that distributions are unstable and hard to model.
Книга известного биржевого спекулянта и "рыночного философа" посвящена проблеме анализа риска, связанного с обычными и экзотическими опционами и методам динамического хеджирования. Включает в себя четыре части: описание микроструктуры рынка и продуктов, представленным на рынке, риск, связанный с обычными ("ванильными") опционами, риск, связанный с экзотическими опционами, описание математических подходов опционной теории и их связи с реальностью.
Для преподавателей, аспирантов и студентов финансовой математики, а также для математиков
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).
‘‘Dynamic hedging’’ is more like medicine than biology. It is leaed by gaining practical experience as well as by studying published research. The wrinkles of the marketplace often dominate other complex issues, which can lead option theoreticians onto a wrong path. Traders' lore can only be transmitted through practice. This book will meld matters of practical (not necessarily anecdotal) importance with fundamental theory.
The major theme is to present traders and risk managers with the tools to navigate around the difficult notion of manufacturing financial products through book-running. This book will introduce the arcane world of dynamic monitoring of risks. The core of dynamic hedging includes:
- The need for a methodology for the implementation of the Black-Scholes-Merton replicating process for options or any other nonlinear security under the constraints imposed by the marketplace.
- The need to generalize the Black-Scholes-Merton framework to cover other parameters than the underlying security in the replicating process (like volatility or interest rates).
- The awareness that transaction costs and frequency can cause a departure from the canons of continuous time finance.
- The awareness that distributions are unstable and hard to model.
Книга известного биржевого спекулянта и "рыночного философа" посвящена проблеме анализа риска, связанного с обычными и экзотическими опционами и методам динамического хеджирования. Включает в себя четыре части: описание микроструктуры рынка и продуктов, представленным на рынке, риск, связанный с обычными ("ванильными") опционами, риск, связанный с экзотическими опционами, описание математических подходов опционной теории и их связи с реальностью.
Для преподавателей, аспирантов и студентов финансовой математики, а также для математиков