The volatility surface : a practitioner's guide /
Praise for The Volatility Surface"I'm thrilled by the appearance of Jim Gatheral's new book TheVolatility Surface. The literature on stochastic volatility isvast, but difficult to penetrate and use. Gatheral's book, bycontrast, is accessible and practical. It successfully charts...
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| Main Author: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken, N.J. :
John Wiley & Sons,
?2006.
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| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | Full text (Wentworth users only) |
MARC
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| 100 | 1 | |a Gatheral, Jim, |d 1957- | |
| 245 | 1 | 4 | |a The volatility surface : |b a practitioner's guide / |c Jim Gatheral ; foreword by Nassim Nicholas Taleb. |
| 260 | |a Hoboken, N.J. : |b John Wiley & Sons, |c ?2006. | ||
| 300 | |a 1 online resource (xxvii, 179 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a Wiley finance series | |
| 504 | |a Includes bibliographical references (pages 163-167) and index. | ||
| 505 | 0 | |a The Volatility Surface: A Practitioner's Guide -- Contents -- Figures -- Tables -- Foreword -- Preface -- HOW THIS BOOK IS ORGANIZED -- Acknowledgments -- Chapter 1: Stochastic Volatility and Local Volatility -- STOCHASTIC VOLATILITY -- LOCAL VOLATILITY -- Chapter 2: The Heston Model -- THE PROCESS -- THE HESTON SOLUTION FOR EUROPEAN OPTIONS -- DERIVATION OF THE HESTON CHARACTERISTIC FUNCTION -- SIMULATION OF THE HESTON PROCESS -- Chapter 3: The Implied Volatility Surface -- GETTING IMPLIED VOLATILITY FROM LOCAL VOLATILITIES -- LOCAL VOLATILITY IN THE HESTON MODEL. | |
| 505 | 8 | |a IMPLIED VOLATILITY IN THE HESTON MODEL -- THE SPX IMPLIED VOLATILITY SURFACE -- Chapter 4: The Heston-Nandi Model -- LOCAL VARIANCE IN THE HESTON-NANDI MODEL -- A NUMERICAL EXAMPLE -- DISCUSSION OF RESULTS -- Chapter 5: Adding Jumps -- WHY JUMPS ARE NEEDED -- JUMP DIFFUSION -- CHARACTERISTIC FUNCTION METHODS -- STOCHASTIC VOLATILITY PLUS JUMPS -- Chapter 6: Modeling Default Risk -- MERTON'S MODEL OF DEFAULT -- CAPITAL STRUCTURE ARBITRAGE -- LOCAL AND IMPLIED VOLATILITY IN THE JUMP-TO-RUIN MODEL -- THE EFFECT OF DEFAULT RISK ON OPTION PRICES -- THE CREDITGRADES MODEL. | |
| 505 | 8 | |a Chapter 7: Volatility Surface Asymptotics -- SHORT EXPIRATIONS -- THE MEDVEDEV-SCAILLET RESULT -- INCLUDING JUMPS -- LONG EXPIRATIONS: FOUQUE, PAPANICOLAOU, AND SIRCAR -- SMALL VOLATILITY OF VOLATILITY: LEWIS -- EXTREME STRIKES: ROGER LEE -- ASYMPTOTICS IN SUMMARY -- Chapter 8: Dynamics of the Volatility Surface -- DYNAMICS OF THE VOLATILITY SKEW UNDER STOCHASTIC VOLATILITY -- DYNAMICS OF THE VOLATILITY SKEW UNDER LOCAL VOLATILITY -- STOCHASTIC IMPLIED VOLATILITY MODELS -- DIGITAL OPTIONS AND DIGITAL CLIQUETS -- Chapter 9: Barrier Options -- DEFINITIONS -- LIMITING CASES. | |
| 505 | 8 | |a THE REFLECTION PRINCIPLE -- THE LOOKBACK HEDGING ARGUMENT -- PUT-CALL SYMMETRY -- QUASISTATIC HEDGING AND QUALITATIVE VALUATION -- ADJUSTING FOR DISCRETE MONITORING -- PARISIAN OPTIONS -- SOME APPLICATIONS OF BARRIER OPTIONS -- CONCLUSION -- Chapter 10: Exotic Cliquets -- LOCALLY CAPPED GLOBALLY FLOORED CLIQUET -- REVERSE CLIQUET -- NAPOLEON -- Chapter 11: Volatility Derivatives -- SPANNING GENERALIZED EUROPEAN PAYOFFS -- VARIANCE AND VOLATILITY SWAPS -- VALUING VOLATILITY DERIVATIVES -- LISTED QUADRATIC-VARIATION BASED SECURITIES -- SUMMARY -- Postscript -- Bibliography -- Index. | |
| 520 | 8 | |a Praise for The Volatility Surface"I'm thrilled by the appearance of Jim Gatheral's new book TheVolatility Surface. The literature on stochastic volatility isvast, but difficult to penetrate and use. Gatheral's book, bycontrast, is accessible and practical. It successfully charts amiddle ground between specific examples and generalmodels--achieving remarkable clarity without giving upsophistication, depth, or breadth."--Robert V. Kohn, Professor of Mathematics and Chair, MathematicalFinance Committee, Courant Institute of Mathematical Sciences, NewYork University"Concise yet comprehensive, equally attentive to both theory andphenomena, this book provides an unsurpassed account of thepeculiarities of the implied volatility surface, its consequencesfor pricing and hedging, and the theories that struggle to explainit."--Emanuel Derman, author of My Life as a Quant"Jim Gatheral is the wiliest practitioner in the business. Thisvery fine book is an outgrowth of the lecture notes prepared forone of the most popular classes at NYU's esteemed CourantInstitute. The topics covered are at the forefront of research inmathematical finance and the author's treatment of them is simplythe best available in this form."--Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in MathematicalFinance, New York University"Jim Gatheral is an acknowledged master of advanced modeling forderivatives. In The Volatility Surface he reveals the secrets ofdealing with the most important but most elusive of financialquantities, volatility."--Paul Wilmott, author and mathematician"As a teacher in the field of mathematical finance, I welcome JimGatheral's book as a significant development. Written by a WallStreet practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level. | |
| 520 | 8 | |a Ofknowledge on derivatives which was not previously available. Istrongly recommend it."--Marco Avellaneda, Director, Division of Mathematical FinanceCourant Institute, New York University"Jim Gatheral could not have written a better book."--Bruno Dupire, winner of the 2006 Wilmott Cutting Edge ResearchAward Quantitative Research, Bloomberg LP. | |
| 588 | 0 | |a Print version record. | |
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| 650 | 0 | |a Stocks |x Prices |x Mathematical models. | |
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