The Volatility Surface: A Practitioner's Guide (Wiley Finance) | Jim Gatheral

The Volatility Surface: A Practitioner's Guide (Wiley Finance) | Jim Gatheral | thank you Jim Gatheral, excellent job, very helpful and well worth the money

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The Volatility Sur...

	The Volatility Surface: A Practitioner's Guide (Wiley Finance) Jim Gatheral Wiley, 2006 - 208 pages average customer review:based on 8 reviews view larger image
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highly recommended

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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Applying models to the real world

The book is a great guide to understanding the different models used on Wall Street to capture the intricacies of modeling and pricing derivatives. The books focus of using models as a tool and NOT a solution is a great reminder to both traders and salespeople.
This summarized when the author describes the pricing of a digital cliquet.
"Those sellers using local Vol models will certainly value a digital cliquet at a lower price than sellers using stochastic volatility. Perversely then, those sellers using an inadequate model will almost certainly win the deal and end up short a portfolio of misvalued forward-starting digital options. OR even worse, a dealer could have an appropriate valuation approach but be pushed internally by the salespeople to match (mistaken) competitors' lower prices."

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thank you Jim Gatheral, excellent job, very helpful and well worth the money

Jim Gatheral has done everyone in quant fin a service by gathering and organizing his lectures, practical execution issues, and experience in this welcome volume, The Volatility Surface: A Practitioner's Guide. This is simply an excellent, clear work that defies the logic that good valuable books in finance don't get written because authors make more money elsewhere. Compare Gatheral with the execrable collection of disjointed papers with Jarrow's name slapped on it (Volatility, Jarrow, et al,1998). This is the book they were trying to write, but it took a practitioner who had his hands dirty and worked hard to try to explain what he was doing to write it.

Topics are rolled out extremely well, and Gatheral dives right in to where practitioners swim: volatility isn't a single data point, or a smile, but a surface and needs to be thought of that way. In explicating the volatility surface and the possible explanations for shapes Gatheral raises the level of conversation for everyone in the field: this is the way we must think of volatility now (until something better comes along, but given the curse of dimensionality my guess is we will be here for a very long time).

This is an excellent, necessary book. Full disclosure: I am not an expert in this field and only have friends who are (many of them are editorial and AMAZON reader reviewers cited here). This book assists me in having interesting and comprehensible conversations with them, but if there are any flaws they likely would escape me. So far, my friends who are experts all agree: thank you Jim Gatheral, excellent job. Very helpful and well worth the money.

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Simply the best!

Too often we see authors unnecessarily overcomplicate mathematics. Jim Gatheral on the other hand does the reverse. By taking a difficult subject and presenting in a wonderfully concise and pedagogic style he shares with the reader his deep knowledge of volatility. Such an important financial quantity which still appears to invoke fear, Jim Gatheral uses his enviable blend of master practitioner and brilliant academic to combine both the real-world finance principles together with the underlying mathematics to demystify volatility.

The working is beautifully laid out, in a manner that is patient, friendly and approachable - and shows that quant finance need not look greek! This is the measure of a true genius!

As a teacher of mathematical finance, I have no hesitation in strongly recommending this book to students, researchers and practitioners in the field of derivatives.

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Traders Enlightment

I found this book by Jim Gatheral very useful from a practical standpoint. His insight for trading applications is remarkable. I reccommend this book to any derivative trader to read from cover to cover. Its filled w/ useful tips and concepts that will save you and your firm from the many pitfalls that arise in marketers trying to satisfy their clients at the house's expense.

Managers should make this required reading for all traders.

a MUST read!

The Volatility Surface is a MUST READ for anyone who desires a deep and practical understanding of the pricing and risk management of derivative claims. Thoughtful enough for academics but accessible to the practicioner. The picture on the back jacket is a masterpiece as well.

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reviews: page 1, 2

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