THE VOLATILITY SMILE (WILEY FINANCE SERIES)
Language: English
Published by Wiley, Hoboken, 2016
- Hardcover
- Used
Seller: Second Story Books, ABAA, Rockville, MD, U.S.A.Second Story Books, ABAA
AbeBooks seller since May 29, 1997
Condition: Used
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Octavo, xv, 512 pages. In Good plus condition with a Good dust jacket. Spine is blue with white print. Dust jacket has light edge wear, with short tear to bottom edge. Price unclipped: "$85.00". Boards in blue paper; light wear to spine caps and corners. Illustrated: b&w diagrams. NOTE: Shelved in Netdesk Column K (ND-K). 1416812. FP New Rockville Stock.
Seller Inventory # 1416812
- Title
- THE VOLATILITY SMILE (WILEY FINANCE SERIES)
- Author
- Derman, Emanuel; Miller, Michael B. (Michael Bernard), 1973- ; Park, David
- Publisher
- Wiley, Hoboken
- Publication year
- 2016
- Dust jacket
- dj
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1118959167
- ISBN 13
- 9781118959169
- Seller catalogs
- Social Sciences
The Volatility Smile
The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets.
The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models.
Topics covered include:
- The principles of valuation
- Static and dynamic replication
- The Black-Scholes-Merton model
- Hedging strategies
- Transaction costs
- The behavior of the volatility smile
- Implied distributions
- Local volatility models
- Stochastic volatility models
- Jump-diffusion models
The first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.
"Synopsis" may belong to another edition of this title.
About the Author
EMANUEL DERMAN is a professor at Columbia University, where he directs its financial engineering program. He is the author of My Life as a Quant and Models. Behaving.Badly.
MICHAEL B. MILLER is the founder and CEO of Northstar Risk Corp. He is the author of Mathematics and Statistics for Financial Risk Management, Second Edition.
"About the title" may belong to another edition of this title.
Second Story Books, ABAA
Rockville, MD, U.S.A.
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