The Volatility Smile (Wiley Finance)
| Author | : | |
| Rating | : | 4.57 (955 Votes) |
| Asin | : | 1118959167 |
| Format Type | : | paperback |
| Number of Pages | : | 528 Pages |
| Publish Date | : | 2015-01-02 |
| Language | : | English |
DESCRIPTION:
"An excellent book to help quants to think on their own and develop good models." according to M. Carreira. Emanuel Derman’s “The Volatility Smile” is an excellent book for those who have learned something about derivatives and now need to think on their own.More than just repeating known formulas and theorems, the author is always careful to distinguish between theories and models, alternating concepts and practice (including end-of-chap. bdy"Emanuel Derman's books are always amazing and inspirational - My Life as A Quant" according to bdy2101. Emanuel Derman's books are always amazing and inspirational - My Life as A Quant, Models.Behaving.Badly and now The Volatility Smile, an excellent book full of insight and intuition, an outstanding guide for exciting volatility world!. 101 said Emanuel Derman's books are always amazing and inspirational - My Life as A Quant. Emanuel Derman's books are always amazing and inspirational - My Life as A Quant, Models.Behaving.Badly and now The Volatility Smile, an excellent book full of insight and intuition, an outstanding guide for exciting volatility world!. Amazing vol book. Way better than other VOl books quant The best book on vol modeling I have read
Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets.The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models.Topics covered include:The principles of valuationStatic and dynamic replicationThe Black-Scholes-Merton modelHedging strategiesTransaction costsThe behavior of the volatility smileImplied distributionsLocal volatility modelsStochastic volatility modelsJump-diffusion modelsThe first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on opti
In contrast to textbooks that accentuate formality over intuition and understanding, The Volatility Smile explores both the ideas and the mathematics behind the models, walking a middle line between the rigor of the academic world and the practical insights of the trading desk. Based on a clear formulation of the principles of financial modeling, The Volatility Smile is also a book about how to evaluate and build financial models.Prior to the 1987 global stock market crash, the Black-Scholes-Merton option valuation model seemed to describe option markets reasonably well. Since the crash, however, equity index option markets have displayed a persistent volatility