动态对冲
Dynamic hedging
Nassim Nicholas Taleb · 初版 1997 年
12人推荐
20位读者提及
28次提及
为什么值得读
- 专注实际管理与交易波动率投资组合
- 深入期权交易员的实用风险管理细节
- 货币区间与市场壁垒章节极具参考价值
Dynamic Hedging 是衍生品风险领域的权威之作。它为管理包含各类非线性证券的投资组合提供了一套切合实际操作的方法论。本书从期权做市商和套利交易员的视角剖析风险。作为唯一一本由兼具理论素养与实战经验的交易员撰写的衍生品风险著作，它重构了期权理论以契合从业人员的真实工作环境。鉴于数学模型无法有效捕捉大部分市场风险暴露，著名期权套利家 Nassim Taleb 独到地全面涵盖了模型内及模型外的衍生品风险
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……适合你。无论如何列一下吧：赫尔的《期权、期货及其他衍生品》；内滕伯格，书名记不清了，但这本可能是最贴近实战的；保罗·威尔莫特的《量化金融》；塔勒布的《动态对冲》。我有一本签名版 :) 另外我觉得多了解一些非期权类的工具很明智，也就是说不要直接抄近路。货币的时间价值、期货、远期、债券、掉期、股票。然后再到香草……
…for you. Here we go anyway: Hull: Futures, Options, and Other Derivatives Natenberg. Don't recall the name, but this is maybe the closest to practical. Paul Wilmott, Quantitative finance. Taleb, Dynamic Hedging. Got a signed copy :) Also I think it's smart to read about instruments that aren't options, ie don't just cut to the chase. Time value of money, futures, forwards, bonds, swaps, equities. Then vanilla…
每当聊到这个话题，我都会甩出赫尔的《期权、期货及其他衍生品》、威尔莫特的《量化金融》，可能还有塔勒布的《动态对冲》。在工具数学层面这些绰绰有余了，大部分时候你接触到的东西都相当平常，除非你最终去了奇异期权结构化交易台（exotics structuring desk）。我还想提一嘴，JS和其他做市商（MM）基本上不……
Whenever the topic comes up, I throw out a reference to Hull's Futures, Options and other derivatives, Wilmott's Quantitative Finance, and possibly also Taleb's Dynamic Hedging. That's more than enough on the instrument math side, most of what you'll see is pretty mundane stuff, unless you end up on an exotics structuring desk. I'd also note that JS and other MMs mostly don't…
纳西姆·塔勒布的第一本书《动态对冲》里有一节关于汇率波动区间的讨论很不错。这是一本针对期权交易员风险管理、偏技术的书，但关于“市场壁垒”那一节格外切题。我觉得它很有价值，因为它为你打开了一扇窗口，让你能窥见……
There is a good section about currency bands in Nassim Taleb's first book, Dynamic Hedging. It's a fairly technical book about risk management for options traders, but the section on Market Barriers is particularly germane. I think it's valuable in the sense that it gives you a window into…
约翰·赫尔的书是经典权威。去读它、实践它、爱上它，睡觉都垫在枕头底下吧。真的太绝了。纳西姆·塔勒布的《动态对冲》是我所知道的关于实际交易/管理波动率投资组合最棒的书。真的非常棒。而且内容很硬核。《保罗·威尔莫特论量化金融》第1-3卷很值得留着当参考书……
John Hull is canon. Read it, live it, love it, keep it under your pillow. It is truly superb. Nassim Taleb's "Dynamic Hedging" is the finest book I'm aware of on the subject of actually trading/managing vol portfolios. It's REALLY good. And dense. "Paul Wilmott on Quantitative Finance" vol 1-3 are worth having as a reference,…
两本推荐：约翰·赫尔的《期权、期货及其他衍生品》和塔勒布的《动态对冲》。
Two recommendations: "Options, Futures, and Other Derivatives" by John Hull and "Dynamic Hedging" by Taleb.
我替 hassy 换个说法吧：“投资”是给韭菜玩的。市场上唯一能赚到钱的人是专业交易员，他们做决策根本不看什么“趋势”或“基本面”。参考：纳西姆·塔勒布的《动态对冲》——这本书摆在很多专业交易员的案头，塔勒布在里面聊了不少关于交易的真知灼见。
I'll rephrase for hassy. "investing" is for suckers. the only people making any money in the market are professional traders who aren't at all making decisions based on "trends" or "fundamentals". see: dynamic hedging by nasim taleb--a book that sits on many professional traders desks in which taleb makes more than a few points about trading.