Nassim Taleb's Dynamic Hedging is an extraordinarily authoritative and informative book. Balancing essential theory with the realities of markets, Taleb explains the strategy, tactics and risks—both on-model and off-model—of managing derivatives portfolios. Cautions, insights and essential techniques jumble together with anecdotes and practical examples. The book is divided into four sections:

Markets, Instruments, People

Measuring Options Risks

Trading and Hedging Exotic Options

Modules

The book is targeted toward experienced traders and knowledgeable financial professionals. If you are involved with dynamic hedging, volatility trading or exotic derivatives, this book is essential reading. Learn about tacit rules in market making, reverse slippage, shadow gamma, stacking, the two-country paradox, sticky strikes and much more. The final section contains modules that cover more technical material. These include:

Brownian motion

Risk neutrality

Numeraire relativity

Correlation triangles

Value-at-Risk

Probabilistic rankings in arbitrage

Option pricing

As we have come to expect, Taleb's criticisms of value-at-risk are overblown, but not without merit. Overall, this is an extraordinary and informative book.