Книга "The Volatility Surface. A Practitioner's Guide" - это практическое руководство по изучению стохастической волатильности на финансовых рынках. Автор Джим Гатерал является опытным профессионалом в области математической финансовой моделирования и рассказывает о том, как использовать понятие волатильности для оценки и хеджирования финансовых продуктов. Книга представляет собой удачное сочетание конкретных примеров и общих моделей, что делает ее доступной и практически полезной для читателя. Автор дает подробный анализ не только теории, но и феноменов, связанных с поверхностью волатильности, ее последствиями для ценообразования и хеджирования, а также рассматривает современные теории, объясняющие этот феномен. Книга также рекомендуется для преподавателей и студентов, изучающих математическую финансовую модель и производные финансовые инструменты.
This book is written by Jim Gatheral, a practitioner and one of leading experts of mathematical finance analysis. It aims to provide a clear and accessible guide for practitioners.
The book is particularly useful for introducing basic concepts of implied volatility and its application in financial markets. It begins with an overview of volatility, how it is calculated and what it represents, and then moves on to discuss the traits of the implied volatility smile, which affects options pricing. The book also goes through the key features of option pricing models, and critical terminology like barriers, strikes, volatilities, correlation and Greeks (delta, theta, gamma, vega).
Next, the book explores some trading strategies based on options, introducing the working principles of delta, gamma scaling rules, cost basis management, implied volatility forecasts, lateral binary and other types of spreads. There are benefits to knowing these strategies; a trader should be prepared to touch on most things related to trading.
Finally, the book finishes by providing some unique projects, illustrations, simulations, closed-form exotic option valuation and advanced tools, including exact simulation and variance reduction algorithms, mid-price estimation and flavor of Monte-Carlo simulation.
Электронная Книга «The Volatility Surface. A Practitioner's Guide» написана автором Jim Gatheral в году.
Минимальный возраст читателя: 0
Язык: Английский
ISBN: 9780470068250
Описание книги от Jim Gatheral
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
