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Author and financial professional Jim Gatheral is intimately familiar with these issues and, in The Volatility Surface, he shares his many years of knowledge and experience to help make sense of it all. Written by a practitionerfor practitioners, The Volatility Surface examines why options are priced as they are andstarting from a powerful representation of implied volatility in terms of a weighted average ofrealized volatilitiesexplores the implications of various popular models for pricing.
The first half of this book focuses on setting up the theoretical framework, while the later chapters are oriented towards practical applications. Informative and accessible, The Volatility Surface:
The purpose of The Volatility Surface is not to just present results, but to provide you with ways of thinking about and solving practical problems that should have many other areas of application. So by the time you finish reading this guide, you'll have a firm understanding of volatility surface modeling as well as a better idea of how you can apply the results of these models to real-world situations.
Filled with in-depth insights, expert advice, and real-world examples, The Volatility Surface will get you up to speed on the latest theories underlying options pricing as well as familiarize you with the history and practice of trading in the equity derivatives markets.
very well written..for those who are prepared to work very hard on it...
i would recommend reading derman's online notes on vol surface and nirmala moody's paper on heston... Read more
The book is really sloppy in terms of the derivations and deduction of equations. For example, in page 7, the risk neutral SDE for volatility. Read morePublished on March 6, 2012 by hyacinthshe
This book of only about 160 pages packs a lot of punch. If you need to get to know anything about the volatility surface, this book will be of use. Read morePublished on January 18, 2011 by Antonie Kotze (PhD)
A good book for its wide view of all the topics linked to the volatility trading : stochastic volatility and jumps with a quite rare study of the impact of stochastic vol over the... Read morePublished on August 28, 2009 by Gourion
I found this book by Jim Gatheral very useful from a practical standpoint. His insight for trading applications is remarkable. Read morePublished on January 31, 2007 by Mark C. Donoghue
Too often we see authors unnecessarily overcomplicate mathematics. Jim Gatheral on the other hand does the reverse. Read morePublished on January 4, 2007 by Indian Mathematician
The Volatility Surface is a MUST READ for anyone who desires a deep and practical understanding of the pricing and risk management of derivative claims. Read morePublished on December 3, 2006 by cbriggs