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The Volatility Surface
Language: en
Pages: 208
Authors: Jim Gatheral
Categories: Business & Economics
Type: BOOK - Published: 2011-03-10 - Publisher: John Wiley & Sons

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
The Volatility Smile
Language: en
Pages: 528
Authors: Emanuel Derman, Michael B. Miller
Categories: Business & Economics
Type: BOOK - Published: 2016-09-06 - Publisher: John Wiley & Sons

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
Calibration of the Volatility Surface
Language: en
Pages: 32
Authors: Emanuel Derman, Michael B. Miller
Categories: Business & Economics
Type: BOOK - Published: 2008 - Publisher:

Books about Calibration of the Volatility Surface
A GARCH-parametrization of the Volatility Surface
Language: en
Pages: 20
Authors: Thomas Mazzoni
Categories: Business & Economics
Type: BOOK - Published: 2013 - Publisher:

Books about A GARCH-parametrization of the Volatility Surface
Examining and Modeling the Dynamics of the Volatility Surface
Language: en
Pages: 19
Authors: Ronnie Söderman
Categories: Business & Economics
Type: BOOK - Published: 2000 - Publisher:

Books about Examining and Modeling the Dynamics of the Volatility Surface