The volatility surface : a practitioner's guide
by
Gatheral, Jim, 1957-
Title
:
The volatility surface : a practitioner's guide
Author
:
Gatheral, Jim, 1957-
ISBN
:
9780471792512
Personal Author
:
Gatheral, Jim, 1957-
Publication Information
:
Hoboken, N.J. : Wiley ; Chichester : John Wiley [distributor], c2006.
Physical Description
:
xxvii, 179 p. : ill. ; 24 cm.
Series
:
Wiley finance series
Series Title
:
Wiley finance series
Contents
:
Ch. 1. Stochastic volatility and local volatility -- Ch. 2. The Heston model -- Ch. 3. The implied volatility surface -- Ch. 4. The Heston-Nandi model -- Ch. 5. Adding jumps -- Ch. 6. Modeling default risk -- Ch. 7. Volatility surface asymptotics -- Ch. 8. Dynamics of the volatility surface -- Ch. 9. Barrier options -- Ch. 10. Exotic cliquets -- Ch. 11. Volatility derivatives.
Abstract
:
"Written by a practitioner for 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 of realized volatilities - explores the implications of various popular models for pricing."--BOOK JACKET.
Subject Term
:
Options (Finance) -- Prices -- Mathematical models.
Stocks -- Prices -- Mathematical models.
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168025566932 | 336.767 G259V 2006 | 1 |
| IIEMSA | General Books | 33168025569241 | 336.767 G259V 2006 | 2 |