Dynamic Hedging: Managing Vanilla and Exotic Options

Muito didático e claro. Oferece muita informação de diversos cenários. Vale cada centavo.

Still a very good reference for volatility trading 25 years after its publication. Perhaps it needs some updating on the statistical analysis of volatility, but you can find those updates in more recent publications of the author.

I All I can say is that this is the best Start for anybody wanting to trade Exotic Options At a retail Level, but also wishing to start a career in any global Financial Center. This Book could change your life I.e ' you will Win or you Will Lose' playing this Game. Good Luck Everybody the Game is On.

Taleb is one arrogant dude who loves flooding his books with archaic words which were last employed in the English Language by Geoffrey Chauncer. But alas, Dynamic Hedging is a strong advanced text which goes through many nuanced topics. For example, he makes some good points on managing option greeks. Some chapters I really enjoyed which are hugely important in practice that you don't learn in any classroom: soft American options, discrete delta vs continuous delta, fungibility. Just a warning that you might have to read over sections multiple times before you digest ideas. For example, for american options, you can tend to think of the early exercise having some sensitivity to interest rates (as rates go higher, it becomes more optimal to exercise puts and less optimal to exercise calls), so in some circumstances, the early exercise provision of american option is actually an option on rates. Also, every mathematician teaches delta as a continuous derivative d[option value]/d[spot], but really what's important is to the know the delta at discrete intervals since no one hedges continuously and also since in a real options book the greek sensitivities might flip or go through extreme changes over discrete intervals. Just some great material which makes you think hard. The structure of the book jumps over the place, but mainly Taleb is focused on options, volatility, and exotics. So not exactly a good book on vanilla rates or commodities for example. This text is certainly one I keep as a reference guide on my desk. As a sign of its value, everytime I read it, I do learn something new. I rated it highly based solely on the excellent and juicy material but the writing style is really horrible. Not for beginners but a great read for anyone interested in the deep details of trading derivatives.

I did not enjoy that book as much when I was still unfamiliar with the field: maybe it is a bit disorganised. Some of it is however very accessible to beginners. When I go back to it I always appreciate it a bit more than the previous time. It deals with important subjects in derivatives trading that are rarely presented anywhere else.