The volatility surface : a practitioner's guide (eBook, 2006) [WorldCat.org]
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The volatility surface : a practitioner's guide
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The volatility surface : a practitioner's guide

Author: Jim Gatheral
Publisher: Hoboken, N.J. : John Wiley & Sons, ©2006.
Series: Wiley finance series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
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Details

Genre/Form: Electronic books
Material Type: Document
Document Type: Book, Computer File
All Authors / Contributors: Jim Gatheral
ISBN: 1119202078 9781119202073 1280649224 9781280649226 9786610649228 6610649227 1118046455 9781118046456 0470068256 9780470068250
OCLC Number: 1303498189
Language Note: English.
Notes: Description based upon print version of record.
Description: 1 online resource (209 p.).
Contents: The Volatility Surface: A Practitioner's Guide; Contents; Figures; Tables; Foreword; Preface; Acknowledgments; Chapter 1: Stochastic Volatility and Local Volatility; Chapter 2: The Heston Model; Chapter 3: The Implied Volatility Surface; Chapter 4: The Heston-Nandi Model; Chapter 5: Adding Jumps; Chapter 6: Modeling Default Risk; Chapter 7: Volatility Surface Asymptotics; Chapter 8: Dynamics of the Volatility Surface; Chapter 9: Barrier Options; Chapter 10: Exotic Cliquets; Chapter 11: Volatility Derivatives; Postscript; Bibliography; Index
Series Title: Wiley finance series.
Responsibility: Jim Gatheral ; foreword by Nassim Nicholas Taleb.

Abstract:

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<b.

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