*** Proof of Product ***
Exploring the Essential Features of “Jim Gatheral – The Volatility Surface”
The Volatility Surface: A Practitioner’s Guide 1st Edition
by Gatheral (Author)
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
Editorial Reviews
Review
“…I do recommend this book…” (Zentralblatt MATH , Vol. 1118 2007/20)
From the Inside Flap
Understanding the volatility surface is a key objective for both practitioners and academics in the field of finance. Implied volatilities evolve randomly and so models of the volatility surface—which is formed from implied volatilities of all strikes and expirations—need to explicitly reflect this randomness in order to accurately price, trade, and manage the risk of derivative products.
Author and financial professional Jim Gatheral is intimately familiar with these issues and, in The Volatility Surface, he shares his many years of knowledge and experience to help make sense of it all. Written by a practitionerfor practitioners, The Volatility Surface examines why options are priced as they are and—starting from a powerful representation of implied volatility in terms of a weighted average ofrealized volatilities—explores the implications of various popular models for pricing.
The first half of this book focuses on setting up the theoretical framework, while the later chapters are oriented towards practical applications. Informative and accessible, The Volatility Surface:
- Contains a detailed derivation of the Heston mod options from the humble barrier option to the el and explanations of many other popular models such as SVJ, SVJJ, SABR, and CreditGrades
- Discusses the characteristics of various types of exoticsuper exotic Napoleon
- Exhaustively covers volatility derivatives with elegant and robust presentations of the latest research
- Examines performance of exotic cliquet contracts through in-depth case studies of actual bonds that have already matured
The purpose of The Volatility Surface is not to just present results, but to provide you with ways of thinking about and solving practical problems that should have many other areas of application. So by the time you finish reading this guide, you’ll have a firm understanding of volatility surface modeling as well as a better idea of how you can apply the results of these models to real-world situations.
Filled with in-depth insights, expert advice, and real-world examples, The Volatility Surface will get you up to speed on the latest theories underlying options pricing as well as familiarize you with the history and practice of trading in the equity derivatives markets.
From the Back Cover
“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
About the Author
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).
Product details
Publisher ‏ : ‎ Wiley; 1st edition
Language ‏ : ‎ English
Hardcover ‏ : ‎ 208 pages
Customer reviews
Ijon Tichy
Insightful guide to volatility modeling
Jim Gatheral’s book offers an expertly presented practitioner’s perspective on modeling implied option volatility in the context of equity derivatives. The author, a leading expert and practitioner in the area, introduces the reader to the industry standard models (Heston, SVI, SABR), and shows how to make the complex math of these models work on trading desks.
The book dispenses with the technical niceties that go with advanced theory of stochastic processes, and instead focuses on the meat of the problem. That allows the author to tell the story on 180 pages, each of which is packed with information and insight.
Huiyou Chen
The BEST!
I am taking Prof. Gatheral’s class. He is the best instructor I have ever studied with. Without any doubt, he is very professional in volatility modeling. This book is very concise with many practitioner’s views which you might not see in the academia. He also keeps updating his lecture notes with cutting-edge research so I hope someday he would publish a second edition.
Please see the full list of alternative group-buy courses available here: https://lunacourse.com/shop/
