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Produktbeschreibungen
Pressestimmen
"...I do recommend this book..." (Zentralblatt MATH , Vol. 1118 2007/20)
Kurzbeschreibung
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
"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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Die hilfreichsten Kundenrezensionen
4 von 5 Kunden fanden die folgende Rezension hilfreich
Format:Gebundene Ausgabe
"At the Age of 17, I had wanted to be another Einstein; at 21, I would have been happy to be another Feynmann; at 24, a future T.D.Lee would have sufficied. By 1976, sharing an office with other postdoctoral researchers at Oxford, I realized that I had reached the point were I merley envied the postdoc in the office next door because he had been invited to give a seminar in France". (E.Derman: My Life as a Quant, p. 28).
The Autor hat in Cambridge theoretische Physik studiert. Offensichtlich hat es zum Einstein auch nicht gereicht. Er hat bei Merrill Lynch Quant-Karriere gemacht und hält am Courant-Institut in New York Vorlesungen. Das Buch sind vom ihm überarbeitete Vorlesungs-Unterlagen. Laut dem Vorwort von N.Taleb hatte die Vorlesung Kult-Charakter. Taleb und Gatheral haben sich Scheinkämpfe um den brilliantesten Quant geliefert. Nachdem wahrscheinlich sehr wenige weibliche Zuhörerinnen anwesend waren, ist das biologisch gesehen relativ sinnlos. Die Atmosphäre dieser Vorlesungen geht im Buch natürlich verloren. Übrig bleibt ein eitler Geck, der zeigen will, dass er die Mathematik im kleinen Finger hat. Er lässt kein denkbares Mathematisches Buzzword aus, auch wenn es fürs Verständnis nicht notwendig ist bzw. nichts bringt. Sein inhaltliches Anliegen ist die Kalibrierung von Modellen an die Volatility-Surface. Er kommt zum wenig überraschenden Schluss, mit Stochastischer Volatiliy with Jumps (SVJ) gehts am besten. Wobei es ziemlich egal ist, welches SVJ Modell man nimmt. Tatsächlich gehts weit einfacher und besser mit nicht-parametrischen Kernel Methoden. Aber da hätte Gatheral nicht zuerst mit den Integralen, Fokker-Planck, Green-Function und Fourier-Transformationen jonglieren können. Mit simplen nichtparametrischen Methoden ist niemand zu beindrucken. Das Buch ist - wie in der Quant-Branche üblich - sehr viel heisse Luft. Lässt man die aus, bleibt wenig über.
Ich habe auch Zweifel, ob die Kalibrierung an der Volatility-Surface sinnvoll ist. Damit geht man von der unsichtbaren Hand Gottes? im Optionenmarkt aus. Wenn man diesen Markt aber genauer betrachtet erkennt man sehr schnell wie stimmungsabhängig die Optionenpreise sind. M.E. geht es daher gerade darum Fehlbewertungen zu erkennen und auszunützen. Dies ist mit dieser Kalibrierungsmethode nicht möglich. Ich habe jedenfalls ein Stochastic-Volatility-Modell entwickelt, das rein aus den historischen Daten des zugrundeliegenden Assets kalibriert wird.
Anmerkung: Dies ist eine überarbeitete Version einer Besprechung vom 3.Oktober 2008.
The Autor hat in Cambridge theoretische Physik studiert. Offensichtlich hat es zum Einstein auch nicht gereicht. Er hat bei Merrill Lynch Quant-Karriere gemacht und hält am Courant-Institut in New York Vorlesungen. Das Buch sind vom ihm überarbeitete Vorlesungs-Unterlagen. Laut dem Vorwort von N.Taleb hatte die Vorlesung Kult-Charakter. Taleb und Gatheral haben sich Scheinkämpfe um den brilliantesten Quant geliefert. Nachdem wahrscheinlich sehr wenige weibliche Zuhörerinnen anwesend waren, ist das biologisch gesehen relativ sinnlos. Die Atmosphäre dieser Vorlesungen geht im Buch natürlich verloren. Übrig bleibt ein eitler Geck, der zeigen will, dass er die Mathematik im kleinen Finger hat. Er lässt kein denkbares Mathematisches Buzzword aus, auch wenn es fürs Verständnis nicht notwendig ist bzw. nichts bringt. Sein inhaltliches Anliegen ist die Kalibrierung von Modellen an die Volatility-Surface. Er kommt zum wenig überraschenden Schluss, mit Stochastischer Volatiliy with Jumps (SVJ) gehts am besten. Wobei es ziemlich egal ist, welches SVJ Modell man nimmt. Tatsächlich gehts weit einfacher und besser mit nicht-parametrischen Kernel Methoden. Aber da hätte Gatheral nicht zuerst mit den Integralen, Fokker-Planck, Green-Function und Fourier-Transformationen jonglieren können. Mit simplen nichtparametrischen Methoden ist niemand zu beindrucken. Das Buch ist - wie in der Quant-Branche üblich - sehr viel heisse Luft. Lässt man die aus, bleibt wenig über.
Ich habe auch Zweifel, ob die Kalibrierung an der Volatility-Surface sinnvoll ist. Damit geht man von der unsichtbaren Hand Gottes? im Optionenmarkt aus. Wenn man diesen Markt aber genauer betrachtet erkennt man sehr schnell wie stimmungsabhängig die Optionenpreise sind. M.E. geht es daher gerade darum Fehlbewertungen zu erkennen und auszunützen. Dies ist mit dieser Kalibrierungsmethode nicht möglich. Ich habe jedenfalls ein Stochastic-Volatility-Modell entwickelt, das rein aus den historischen Daten des zugrundeliegenden Assets kalibriert wird.
Anmerkung: Dies ist eine überarbeitete Version einer Besprechung vom 3.Oktober 2008.
Die hilfreichsten Kundenrezensionen auf Amazon.com (beta)
Amazon.com:
11 Rezensionen
45 von 47 Kunden fanden die folgende Rezension hilfreich
Option Pricing for the 21st Century
26. Oktober 2006
Format:Gebundene Ausgabe
The Volatility Surface is an-ultra modern account of derivatives pricing and hedging. Indeed of the fifty-two bibliographical references a mere twenty were written before 1999. The book makes the case for option pricing models which incorporate randomness into stock price volatility (stochastic volatility) and jumps into stock price movements. By themselves these are not new models, but a coherent understanding of their relationship to the dynamics of the volatility surface and to derivatives valuation is new, and Gatheral does an admirable job of presenting a great deal of the most modern work in this area - including some of his own - in one place.
The topic is necessarily mathematical in nature and Gatheral spares the reader nothing of the full-on mathematical treatment; but he nevertheless manages to distill the essence of the most important mathematics into easily accessible, intuitive explanations that supplement the readers understanding. Thus this book should have broad appeal to practitioners of all levels, especially traders and those familiar with the basics of derivatives valuation. Gatheral succeeds in this vein so well, I believe, because he is a first-rate quant and a a long-time senior quant at Merril Lynch.
The book gives an excellent treatment of the relationship between stock price dynamics which actually explain option prices observed in the market and the necessity of studying the volatility surface to have a complete understanding of derivatives valuation. He does a great job of justifying the key models he reviews and then studies the implications for derivatives valuation.
As an expert practitioner, his choices reflect what is really out there in the market, so readers should pay attention. As a first rate quant, his mathematics and his grasp of the literature on option pricing will expose readers to the best of the best.
Of particular note is his last chapter on volatility instruments, in particular variance swaps, volatility swaps and options on volatility. This is an important market that was just getting started in the late 1990s but has burgeoned into one of the most active and important markets in equity derivatives. This chapter is a must for anyone interested in understanding the subtelties involved in understanding variance swap and volatility swap valuation, and is alone worth the cover price.
The topic is necessarily mathematical in nature and Gatheral spares the reader nothing of the full-on mathematical treatment; but he nevertheless manages to distill the essence of the most important mathematics into easily accessible, intuitive explanations that supplement the readers understanding. Thus this book should have broad appeal to practitioners of all levels, especially traders and those familiar with the basics of derivatives valuation. Gatheral succeeds in this vein so well, I believe, because he is a first-rate quant and a a long-time senior quant at Merril Lynch.
The book gives an excellent treatment of the relationship between stock price dynamics which actually explain option prices observed in the market and the necessity of studying the volatility surface to have a complete understanding of derivatives valuation. He does a great job of justifying the key models he reviews and then studies the implications for derivatives valuation.
As an expert practitioner, his choices reflect what is really out there in the market, so readers should pay attention. As a first rate quant, his mathematics and his grasp of the literature on option pricing will expose readers to the best of the best.
Of particular note is his last chapter on volatility instruments, in particular variance swaps, volatility swaps and options on volatility. This is an important market that was just getting started in the late 1990s but has burgeoned into one of the most active and important markets in equity derivatives. This chapter is a must for anyone interested in understanding the subtelties involved in understanding variance swap and volatility swap valuation, and is alone worth the cover price.
34 von 35 Kunden fanden die folgende Rezension hilfreich
Nice Review of Stochastic Vol Literature
19. September 2006
Format:Gebundene Ausgabe
The academic literature on stochastic volatility models is vast and often difficult to understand or at least to gain a coherent view of the field from. This book provides a succinct introduction. It is well written without over simplifying issues.
Things are looked at from the view of a practitioner rather than an academic. Proofs are generally not formal and are designed to stress financial insight over rigour. But it is important to state that "practitioner" means quant rather than trader, and that this is not a piece of light reading!
I was pleased to see sections on asymptotic solutions, volatility derivatives and an introduction to credit but was a little disappointed by the brevity of the bibliography.
A good book to have around.
Things are looked at from the view of a practitioner rather than an academic. Proofs are generally not formal and are designed to stress financial insight over rigour. But it is important to state that "practitioner" means quant rather than trader, and that this is not a piece of light reading!
I was pleased to see sections on asymptotic solutions, volatility derivatives and an introduction to credit but was a little disappointed by the brevity of the bibliography.
A good book to have around.
9 von 11 Kunden fanden die folgende Rezension hilfreich
Applying models to the real world
12. November 2006
Format:Gebundene Ausgabe
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."
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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