简介 Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders an...展开短评 打开App写短评 4ever_9112015-12-03 14:31:49 最近我正好被Gamma Risk整得焦头烂额茶饭不香,看到网上推荐的书单,一看作者,吓我一...
一直以为NNT就是一个社科畅销书作家,充其量最多玩玩哲学。今天才知道这哥们也写高端著作啊。这本书就是黑天鹅思想在对冲方面的应用。估计写这种书费力不讨好。不如黑天鹅、反脆弱啥的好赚钱。抄一段凑字数:做动态对冲的困难:1. 无法精确预知未来的波动性。2. 无法连续调仓,只能间断调仓。3. 调仓是有成本的,而理...
In this case, dynamic hedging only enables one to super- and sub-replicate the payoffs to any derivative. To use dynamic hedging we need to assume an evolution for the underlying traded assets. For simplicity of the presentation, we assume that there is no interest rate risk and restrict ...
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9 RegisterLog in Sign up with one click: Facebook Twitter Google Share on Facebook Dynamic (redirected fromdynamics) Dictionary Thesaurus Medical Encyclopedia Wikipedia For optionstrategies, describing analyses made during the course of changing security prices and during the passage of time. This is...
A hedging algorithm provides the certainty by solving the deregulation problem that is the variation of electricity price change at each time at different IDC locations. [67] formulates this deregulation of IDC locations at time t with a vector and provides hedging with buying electricity from ...
There are even funkier possibilities, like tail risk hedging, that I haven’t looked into in any detail. I do think that there must be more focused ways of dealing with the sequence risk problem than just relying on a stocks and bonds portfolio, even if tied to a variable withdrawal/asset...
An investor can limit the violent swings in their portfolio by implementing a hedging strategy designed to limit downside losses. If you hold Pimco Dynamic Income, one way to have your portfolio be protected is to always look up for changing volatility and market elasticity of Pimco Dynamic ...
We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value factor and first demonstrate that our demand estimates are correlated with the actual demands of retail and mutual fund investors. We then show that the aggregate high﹎inus﹍...
Dynamic Hedging 作者:Taleb 出版社:John Wiley & Sons 副标题:Managing Vanilla and Exotic Options 出版年:1996-12-31 页数:528 定价:GBP 105.00 装帧:Hardcover ISBN:9780471152804 豆瓣评分 8.9 78人评价 5星 53.8% 4星 33.3% 3星 10.3% 2星 1.3%...