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The Volatility Surface
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The Volatility Surface

The Volatility Surface

A Practitioner's Guide

Jim Gatheral - Collection Wiley Finance

180 pages, parution le 21/09/2006

Résumé

Understanding the volatility surface is a key objective for both practitioners and academics in the field of finance. Implied volatilities evolve randomly and so models of the volatility surface-which is formed from implied volatilities of all strikes and expirations-need to explicitly reflect this randomness in order to accurately price, trade, and manage the risk of derivative products.

Author and financial professional Jim Gatheral is intimately familiar with these issues and, in The Volatility Surface, he shares his many years of knowledge and experience to help make sense of it all. 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.

The first half of this book focuses on setting up the theoretical framework, while the later chapters are oriented towards practical applications. Informative and accessible, The Volatility Surface:

  • Contains a detailed derivation of the Hes-ton model and explanations of many other popular models such as SVJ, SVJJ, SABR, and CreditGrades
  • Discusses the characteristics of various types of exotic options from the humble barrier option to the super exotic Napoleon
  • Exhaustively covers volatility derivatives with elegant and robust presentations of the latest research
  • Examines performance of exotic cliquet contracts through in-depth case studies of actual bonds that have already matured

The purpose of The Volatility Surface is not to just present results, but to provide you with ways of thinking about and solving practical problems that should have many other areas of application. So by the time you finish reading this guide, you'll have a firm understanding of volatility surface modeling as well as a better idea of how you can apply the results of these models to real-world situations.

Filled with in-depth insights, expert advice, and real-world examples, The Volatility Surface will get you up to speed on the latest theories underlying options pricing as well as familiarize you with the history and practice of trading in the equity derivatives markets.

L'auteur - Jim Gatheral

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.

Sommaire

  • List of Figures
  • List of Tables
  • Foreword
  • Preface
  • Acknowledgments
  • Stochastic Volatility and Local Volatility
  • The Heston Model
  • The Implied Volatility Surface
  • The Heston-Nandi Model
  • Adding Jumps
  • Modeling Default Risk
  • Volatility Surface Asymptotics
  • Dynamics of the Volatility Surface
  • Barrier Options
  • Exotic Cliquets
  • Volatility Derivatives
  • Postscript
  • Bibliography
  • Index
Voir tout
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Caractéristiques techniques

  PAPIER
Éditeur(s) Wiley
Auteur(s) Jim Gatheral
Collection Wiley Finance
Parution 21/09/2006
Nb. de pages 180
Format 15,5 x 23,5
Couverture Relié
Poids 385g
Intérieur Quadri
EAN13 9780471792512

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