Search Results for "dynamic-hedging"

Dynamic Hedging

Dynamic Hedging

Managing Vanilla and Exotic Options

  • Author: Nassim Nicholas Taleb
  • Publisher: John Wiley & Sons
  • ISBN: 0471152803
  • Category: Business & Economics
  • Page: 528
  • View: 5646
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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.

Portfolio Insurance

Portfolio Insurance

A Guide to Dynamic Hedging

  • Author: Donald Luskin
  • Publisher: Wiley
  • ISBN: 9780471858492
  • Category: Business & Economics
  • Page: 322
  • View: 3522
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Portfolio insurance has become a craze among institutional investors: over the past ten years, the value of assets managed under this strategy has grown from zero to more than -50 billion. This guide offers complete coverage and practical advice on every aspect of the subject. It clearly defines the characteristics of portfolio insurance, providing background on its history and the theory of hedging, going on to describe how to implement a hedging strategy, how to fit portfolio insurance into long-term financial planning, using index and financial futures and options in hedging, and techniques for measuring performance. Also included is a discussion of how portfolio insurance operates in the international arena.

Hedge Funds and Financial Market Dynamics

Hedge Funds and Financial Market Dynamics

  • Author: Professor Barry Eichengreen,Barry J. Eichengreen,Donald J. Mathieson,Anne Jansen,Bankim Chadha,Laura E. Kodres,International Monetary Fund,Sunil Sharma
  • Publisher: International Monetary Fund
  • ISBN: 9781557757364
  • Category: Hedge funds
  • Page: 75
  • View: 9127
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Dated May 1998

Hedging Market Exposures

Hedging Market Exposures

Identifying and Managing Market Risks

  • Author: Oleg V. Bychuk,Brian Haughey
  • Publisher: John Wiley & Sons
  • ISBN: 9781118085370
  • Category: Business & Economics
  • Page: 352
  • View: 1827
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Identify and understand the risks facing your portfolio, how to quantify them, and the best tools to hedge them This book scrutinizes the various risks confronting a portfolio, equips the reader with the tools necessary to identify and understand these risks, and discusses the best ways to hedge them. The book does not require a specialized mathematical foundation, and so will appeal to both the generalist and specialist alike. For the generalist, who may not have a deep knowledge of mathematics, the book illustrates, through the copious use of examples, how to identify risks that can sometimes be hidden, and provides practical examples of quantifying and hedging exposures. For the specialist, the authors provide a detailed discussion of the mathematical foundations of risk management, and draw on their experience of hedging complex multi-asset class portfolios, providing practical advice and insights. Provides a clear description of the risks faced by managers with equity, fixed income, commodity, credit and foreign exchange exposures Elaborates methods of quantifying these risks Discusses the various tools available for hedging, and how to choose optimal hedging instruments Illuminates hidden risks such as counterparty, operational, human behavior and model risks, and expounds the importance and instability of model assumptions, such as market correlations, and their attendant dangers Explains in clear yet effective terms the language of quantitative finance and enables a non-quantitative investment professional to communicate effectively with professional risk managers, "quants", clients and others Providing thorough coverage of asset modeling, hedging principles, hedging instruments, and practical portfolio management, Hedging Market Exposures helps portfolio managers, bankers, transactors and finance and accounting executives understand the risks their business faces and the ways to quantify and control them.

Financial Risk Management

Financial Risk Management

A Practitioner's Guide to Managing Market and Credit Risk (with CD-ROM)

  • Author: Steve L. Allen
  • Publisher: John Wiley & Sons
  • ISBN: 9780471219774
  • Category: Business & Economics
  • Page: 393
  • View: 8658
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Here, you will gain a firm understanding of value-at-risk (VaR), stress testing, and management of portfolio credit risk."--BOOK JACKET.

Principles of Financial Engineering

Principles of Financial Engineering

  • Author: Salih N. Neftci
  • Publisher: Academic Press
  • ISBN: 9780080919973
  • Category: Mathematics
  • Page: 696
  • View: 5489
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Principles of Financial Engineering, Second Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows you how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. * The Second Edition presents 5 new chapters on structured product engineering, credit markets and instruments, and principle protection techniques, among other topics * Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act * The Solutions Manual enhances the text by presenting additional cases and solutions to exercises