The Volatility Surface

Jim Gatheral

ISBN 10: 0471792519 / ISBN 13: 9780471792512

Published by Wiley, 2006

: Este libro, escrito por Jim Gatheral, es una guía práctica sobre la superficie de volatilidad. Explora las peculiaridades de la superficie de volatilidad implícita y sus consecuencias para la fijación de precios y la cobertura. El autor presenta modelos y ejemplos específicos para lograr claridad y sofisticación. Es una obra esencial para aquellos interesados en las finanzas matemáticas y el modelado avanzado de derivados. EAN: 9780471792512 Tipo: Libros Categoría: Negocios y Economía|Tecnología Título: The Volatility Surface Autor: Jim Gatheral Editorial: Wiley Idioma: en Páginas: 208 Formato: tapa dura. Seller Inventory # Happ-2025-07-15-ad101b12

Synopsis:

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

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).

Bibliographic Details

Title: The Volatility Surface
Publisher: Wiley
Publication Date: 2006
Binding: Hardcover
Condition: Muy bueno