The Volatility Surface (eBook)

A Practitioner's Guide

Jim Gatheral (Autor)

eBook Download: EPUB | PDF

2006 | 1. Auflage
208 Seiten
John Wiley & Sons (Verlag)
978-0-470-06825-0 (ISBN)

Infos

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

Autor

JIM GATHERAL is a Managing Director at Merrill Lynch and also an Adjunct Professor at the Courant Institute of Mathematical Sciences, New York University.Dr. Gatheral obtained a PhD in theoretical physics from Cambridge Universityin 1983. Since then, he has been involved in all of the major derivative product areasas a bookrunner, risk manager, and quantitative analyst in London, Tokyo, and New York. From 1997 to 2005, Dr. Gatheral headed the Equity Quantitative Analytics group at Merrill Lynch. His current research focus is equity market microstructure and algorithmic trading. With a foreword by Nassim Nicholas Taleb Taleb is the Dean's Professor in the Sciences of Uncertainty at the University of Massachusetts at Amherst. He is also author of Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets (Random House, 2005).

Rezensionen

"...I do recommend this book..." (Zentralblatt MATH , Vol. 1118 2007/20)

Produkt-Details

• Erscheint lt. Verlag: 10.3.2011
• Reihe/Serie: Wiley Finance Editions
• Reihe/Serie: Wiley Finance Editions
• Vorwort: Nassim Nicholas Taleb
• Sprache: englisch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen
• ISBN-10: 0-470-06825-6 / 0470068256
• ISBN-13: 978-0-470-06825-0 / 9780470068250