Customer Reviews

Volatility: New Estimation Techniques for Pricing Derivatives

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A very poor value for a tedious collection of the most poorly written papers. It it wasn't for Jarrow's name attached to this, they'd never sell a copy.

This book is an unreadable doorstop, but don't think you are missing anything, pretty much everything you need to know from here can be told to you in ten minutes from a slightly senior person on any quant or options desk in the world.

This is a collection of survey papers on volatility techniques. It's very academic, which means most of the papers are useless. There is not a single article I like, and no successful practioners I know of uses these techniques. Successful models are often simple and straightforward and it's the human who employs these models that make a difference. This book was published shortly before the collapse of Long Term Capital, and most of the contents are already sorely out-of-date.