The Volatility Surface: A Practitioner's Guide

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9780471792512: The Volatility Surface: A Practitioner's Guide

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

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Recensione:

"...I do recommend this book..." (Zentralblatt MATH , Vol. 1118 2007/20)

L'autore:

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.

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Jim Gatheral
Editore: John Wiley and Sons
ISBN 10: 0471792519 ISBN 13: 9780471792512
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Descrizione libro John Wiley and Sons. Condizione libro: New. Brand New. Codice libro della libreria 0471792519

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2006. Hardback. Condizione libro: New. 1. Auflage. 231 x 150 mm. Language: English . Brand New Book. 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. Codice libro della libreria AAS9780471792512

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2006. Hardback. Condizione libro: New. 1. Auflage. 231 x 150 mm. Language: English . Brand New Book. 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. Codice libro della libreria AAS9780471792512

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Descrizione libro Wiley. Hardcover. Condizione libro: New. 0471792519 Brand New Book. Ships from the United States. 30 Day Satisfaction Guarantee!. Codice libro della libreria 4781762

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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, The Volatility Surface: A Practitioner's Guide, Jim Gatheral, Nassim Nicholas Taleb, 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. Codice libro della libreria B9780471792512

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Descrizione libro John Wiley and#38; Sons, 2006. HRD. Condizione libro: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. Codice libro della libreria IB-9780471792512

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Descrizione libro Wiley, 2006. Hardcover. Condizione libro: New. book. Codice libro della libreria 0471792519

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