The Volatility Surface

" --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book ...

The Volatility Surface

Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP

More Books:

The Volatility Surface
Language: en
Pages: 208
Authors: Jim Gatheral
Categories: Business & Economics
Type: BOOK - Published: 2011-03-10 - Publisher: John Wiley & Sons

Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general
The Volatility Smile
Language: en
Pages: 528
Authors: Emanuel Derman, Michael B. Miller
Categories: Business & Economics
Type: BOOK - Published: 2016-09-06 - Publisher: John Wiley & Sons

The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will
Calibration of the Volatility Surface
Language: en
Pages: 32
Authors: Emanuel Derman, Michael B. Miller
Categories: Business & Economics
Type: BOOK - Published: 2008 - Publisher:

Books about Calibration of the Volatility Surface
The Heston Model and its Extensions in Matlab and C#
Language: en
Pages: 432
Authors: Fabrice D. Rouah
Categories: Business & Economics
Type: BOOK - Published: 2013-08-01 - Publisher: John Wiley & Sons

Tap into the power of the most popular stochastic volatilitymodel for pricing equity derivatives Since its introduction in 1993, the Heston model has become apopular model for pricing equity derivatives, and the most popularstochastic volatility model in financial engineering. This vitalresource provides a thorough derivation of the original model, andincludes
Energy and Power Risk Management
Language: en
Pages: 504
Authors: Alexander Eydeland, Krzysztof Wolyniec
Categories: Business & Economics
Type: BOOK - Published: 2003-02-03 - Publisher: John Wiley & Sons

Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the keyissues in the development of the turbulent energy industry and thechallenges it poses to market players. An insightful andfar-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and