The Volatility Surface: A Practitioner's Guide
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- Type：Epub+TxT+PDF+Mobi
- Create Date：2021-05-14 11:55:07
- Update Date：2025-09-06
- Status：finish
- Author：Jim Gatheral
- ISBN：0471792519
- Environment：PC/Android/iPhone/iPad/Kindle
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Summary
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
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
Reviews
Shrut Patel
，
Extremely quantitative。
Philski
，
I skimmed it， it's a math textbook and honestly I don't care that much about the theoretical math of stock option volatility simply because the prices are what the market makers post， regardless of theory， so I skimmed it for Nassim Taleb's forward and then any bits of information I could distill from the results。 It was decent if you are a major/exotic option practitioner there's a lot of useful math in here :） I skimmed it， it's a math textbook and honestly I don't care that much about the theoretical math of stock option volatility simply because the prices are what the market makers post， regardless of theory， so I skimmed it for Nassim Taleb's forward and then any bits of information I could distill from the results。 It was decent if you are a major/exotic option practitioner there's a lot of useful math in here :） 。。。more
May Ling
，
For those that are interested in the math of the volatility within equity derivatives， this is your book。 It introduces in order the various types of options， approaches to pricing them， then introduces the math behind the newer types of options。 One place where it is weak is that it really is more of a technical approach and not a conceptual approach to understanding the volatility surface。 In this regard， it is more advanced， as one should probably have some working knowledge of the "feel" of For those that are interested in the math of the volatility within equity derivatives， this is your book。 It introduces in order the various types of options， approaches to pricing them， then introduces the math behind the newer types of options。 One place where it is weak is that it really is more of a technical approach and not a conceptual approach to understanding the volatility surface。 In this regard， it is more advanced， as one should probably have some working knowledge of the "feel" of options understand what the book is saying in the way of using different models and their limitations。 For the newbe， this is definitely not the book you go to first， unless you come primarily from math and engineering background trying to learn the the computer programming side of your job。 You will not learn anything of the feel of this product or how you should intuit how it works。 。。。more
Damianbusch1 Busch
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