When a dealer is dynamically hedging a short options position, he doesn’t care whether the underlier goes up or down. Because he is always delta hedged, he is neither long nor short the underlier. He does care whether the underlier’s volatility goes up or down. In a very real sense, ...
《dynamic hedging》读书笔记 《Dynamic Hedging》是一本关于动态对冲的金融书籍,作者是Nassim Nicholas Taleb。以下是读书笔记: 1.主要内容:本书主要介绍了动态对冲的概念、方法和应用。作者通过大量的实例和数据分析,阐述了动态对冲在金融市场中的重要性和有效性。 2.核心观点:作者认为,动态对冲是一种能够在不确定的...
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% 1星 1.3% 评价: 写笔记 写书评 加入购书单 分享到 推荐 内容简介· ··· Destined to become a market classic, Dynamic Hedging is the only practical...
更好的模型往往会带来噩梦。每个期权交易员和风险管理员在享受BSM所带来的便利时,却需要花费大量时间在如何使得BSM模型成立的假设上。事实上,所有经验丰富的交易员都在同一个模型下进行操作,并且安于这种方式,因为他们已经掌握了必要的技巧使得BSM公式有效发挥作用。尽管BSM公式有各种批判,但交易员并不像用其他模型来替...
Dynamic Hedging Created by Kantox, Dynamic Hedging is a Currency Management Automation software solution that eliminates all or most FX risk and enables managers to capture the growth opportunities that result from buying and selling in local currencies. By keeping FX risk at bay, Dynamic Hedging al...
一、Dynamic Hedging Portfolio 1.1 Def 状态变量与组合比重 (1) 设市场上有且仅有 k 个独立风险因子(risk factors). 且均标准化为相互独立的维纳过程 Z=[Z1,...,Zk]′. (2) 设市场上有 n 个可交易资产(tradable assets).其除权后价格过程记为 S=[S1,..,Sn]′. 且满足: [dS1/S1,...,dSn/Sn...
Dynamic Hedging with Futures: A Copula-based GARCH Model Chih-Chiang Hsu, Yaw-Huei Wang and Chih-Ping Tseng* ABSTRACT It has been demonstrated in a number of the prior studies that the traditional regression-based static approach is inappropriate for hedging with futures, with the result that ...
塔勒布Dynamic Hedging 书摘(2)导论 现实世界动态对冲的原则 再平衡gamma: 买卖标的,以复制期权。 一般交易频率越高,理论上来说根据中心极限定理,追踪的分布函数会像上图,越被缩窄,趋向于中心的衍生品价格。 但实际操作中,在追求追踪误差减小的同时,必定会导致交易成本的上升,所以会呈现出下图的结果。
出版社:John Wiley & Sons Inc 定价:540.00 元 装帧:Hardcover ISBN:9780471353478 豆瓣评分 评价人数不足 写笔记 写书评 加入购书单 分享到 Dynamic Hedging的创作者· ··· 纳西姆·尼古拉斯·塔勒布作者 我要写书评 Dynamic Hedging的书评 ···(全部 3 条) 热门只看本版本...
Under a complete market, dynamic hedging enables one to synthetically construct any derivative. The ability to synthetically construct implies the ability to remove all risks. When markets are incomplete, synthetic construction is usually impossible. In this case, dynamic hedging only enables one to ...