Dynamic Hedging is the definitive source on derivatives risk. It provides a real-world methodology for managing portfolios containing any nonlinear security. It presents risks from the vantage point of the option market maker and arbitrage operator. The only book about derivatives risk written by an experienced trader with theoretical training, it remolds options theory to fit the practitioner’s environment. As a larger share of market exposure cannot be properly captured by mathematical models, noted option arbitrageur Nassim Taleb uniquely covers both on-model and off-model derivatives risks. The author discusses, in plain English, vital issues including: The generalized option which encompasses all instruments with convex payoff including a trader’s potential bonus The techniques for trading exotic options, including binary, barrier, multiasset, and Asian options, as well as methods to take into account the wrinkles of actual, non-bellshaped distributions Market dynamics from the practitioner’s vantage point, including liquidity holes, portfolio insurance, squeezes, fat tails, volatility surface, GARCH, curve evolution, static option replication, correlation instability, Pareto-Levy, regime shifts, autocorrelation of price changes, and the severe flaws in the value at risk method New tools to detect risks, such as higher moment analysis, topography exposure, and nonparametric techniques The path of dependence of all options hedged dynamically Dynamic Hedging, 2e is fully updated and expanded, replete with helpful tools, market anecdotes, at-a-glance risk management rules distilling years of market lore, and important definitions. The book contains models in which the fundamental mathematics of derivatives, such as the Brownian motion, Ito’s lemma, numeraire paradox, the Girsanov change of measure, and the Feynman-Kac solution are presented in intuitive practitioner’s language. An indispensable reference for market makers, academics, finance students, risk managers, and regulators.

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