Beschreibung The Volatility Surface: A Practitioner's Guide (Wiley Finance Editions). 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
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The Volatility Surface: A Practitioner's Guide / Wiley ~ Praise for The Volatility Surface Im thrilled by the appearance of Jim Gatherals new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatherals 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 .
The Volatility Surface: A Practitioner's Guide: Gatheral ~ Understanding the volatility surface is a key objective for both practitioners and academics in the field of finance. Implied volatilities evolve randomly and so models of the volatility surface—which is formed from implied volatilities of all strikes and expirations—need to explicitly reflect this randomness in order to accurately price, trade, and manage the risk of derivative products.
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Jim Gatheral - Baruch MFE Program ~ Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 926-931 (2010). • Jump-Diffusion Models. Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 987-989 (2010). • (with foreword by Nassim Taleb) The Volatility Surface: A Practitioner’s Guide. John Wiley & Sons (2006). The Volatility Surface is now in its second printing; thanks to the efforts of .
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Smile Pricing Explained (Financial Engineering Explained ~ The Volatility Surface: A Practitioner's Guide (Wiley Finance) Jim Gatheral. 3.8 out of 5 stars 15. Hardcover. £45.21 . Only 3 left in stock (more on the way). Trading Volatility: Trading Volatility, Correlation, Term Structure and Skew Colin Bennett. 3.8 out of 5 stars 8. Paperback. £19.50. Hedge Fund Market Wizards: How Winning Traders Win (Part of Set 9781118582978) Jack D. Schwager. 4.6 .
Foreign Exchange Option Pricing: A Practitioner's Guide ~ This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange―not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration.
Large Deviations and Asymptotic Methods in Finance / Peter ~ His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006), is one of the standard references on the subject of volatility modelling. Archil Gulisashvili received his Ph.D. and Doctor of Sciences degrees from Tbilisi State University, Georgia. Currently he is a Professor of Mathematics at Ohio University, USA. Prior to joining Ohio University, he has held visiting .
Numerical Methods in Financial Engineering / ENSAE Paris ~ GATHERAL J. (2006) : Volatility Surface: A Practitioner's Guide. Wiley. KWOK Y.W. (1998) : Mathematical models of financial derivatives, Springer (2nd edition à paraître). LAMBERTON D. et LAPEYRE B. (1997) : Introduction au Calcul Stochastique Appliquée à la Finance. Editions Eyrolles.
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Fukasawa : Asymptotic Analysis for Stochastic Volatility ~ The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff functions. The result provides a validation of an existing singular perturbation expansion formula for the fast mean .
Volatility derivatives in the Heston framework - CORE ~ Includes bibliographical references.A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study .
Local volatility - Wikipedia ~ A local volatility model, in mathematical finance and financial engineering, is one that treats volatility as a function of both the current asset level and of time . As such, a local volatility model is a generalisation of the Black–Scholes model, where the volatility is a constant (i.e. a trivial function of and . Formulation. In mathematical finance, the asset S t that underlies a .
Volatilitäts-Smile – Wikipedia ~ Unter Volatilitäts-Smile (auch Volatilitätslächeln, englisch smile bedeutet ‚lächeln‘) wird in den Wirtschaftswissenschaften der Zusammenhang verstanden, dass die implizite Volatilität – dies ist jene, die nach dem Black-Scholes-Modell vorliegen muss, damit der aktuelle Marktpreis einer Option zustande kommt – umso niedriger ist, je mehr die Option „am Geld“ ist.
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Foreign Exchange Option Pricing: A Practitioner's Guide [Book] ~ Book description. This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration.