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The Volatility Surface: A Practitioner's Guide (Wiley Finance) (Englisch) Gebundene Ausgabe – 5. September 2006


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Produktinformation

  • Gebundene Ausgabe: 208 Seiten
  • Verlag: John Wiley & Sons; Auflage: 1. Auflage (5. September 2006)
  • Sprache: Englisch
  • ISBN-10: 0471792519
  • ISBN-13: 978-0471792512
  • Größe und/oder Gewicht: 16 x 2,1 x 23,6 cm
  • Durchschnittliche Kundenbewertung: 3.0 von 5 Sternen  Alle Rezensionen anzeigen (1 Kundenrezension)
  • Amazon Bestseller-Rang: Nr. 183.560 in Fremdsprachige Bücher (Siehe Top 100 in Fremdsprachige Bücher)
  • Komplettes Inhaltsverzeichnis ansehen

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Produktbeschreibungen

Pressestimmen

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

Synopsis

'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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7 von 9 Kunden fanden die folgende Rezension hilfreich Von Dr. Chrilly Donninger am 29. April 2010
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.
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4 Kommentare War diese Rezension für Sie hilfreich? Ja Nein Feedback senden...
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Die hilfreichsten Kundenrezensionen auf Amazon.com (beta)

Amazon.com: 15 Rezensionen
51 von 53 Kunden fanden die folgende Rezension hilfreich
Option Pricing for the 21st Century 26. Oktober 2006
Von Neil A. Chriss - Veröffentlicht auf Amazon.com
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.
35 von 36 Kunden fanden die folgende Rezension hilfreich
Nice Review of Stochastic Vol Literature 19. September 2006
Von Euan Sinclair - Veröffentlicht auf Amazon.com
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.
11 von 14 Kunden fanden die folgende Rezension hilfreich
Applying models to the real world 12. November 2006
Von M - Veröffentlicht auf Amazon.com
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."
6 von 8 Kunden fanden die folgende Rezension hilfreich
Very Interesting but badly written 28. August 2009
Von Gourion - Veröffentlicht auf Amazon.com
Format: Gebundene Ausgabe
A good book for its wide view of all the topics linked to the volatility trading : stochastic volatility and jumps with a quite rare study of the impact of stochastic vol over the pricing of most commons exotic products like cliquets, lookback etc... The main problem of this book are :
1/ the incredible numbers of errors and typos in the proofs (typos for the two first chapters has been published by the author on the website of the Imperial College where Mr Gatheral has given lessons)
2/ the fact it's not so useful as the link between dividends and vol stochastic isn't treated at all.
3/ Most of the interesting theoretical exposee are clearly uncomplete and needs further investigation. But as the author try to do a wide tour of the subject in a rather limited number of pages, this is not surprising.
4/ This isn't explicit but this is of a weaker interest for stochastic volatility of underlyings other than Equities, index and funds...

So finally, it's a good tour on the subject but for a lot of subjects it look likes a summary. Others books are needed. mainly the Alan Lewis book for Fourier transform's methods of pricing, the Cont/tankov on the Jumps process (see my review of this one) and the Alireza Javaheri's one for a more deeper work on THE calibration problem of stochastic volatility.
11 von 16 Kunden fanden die folgende Rezension hilfreich
thank you Jim Gatheral, excellent job, very helpful and well worth the money 6. Februar 2007
Von Bachelier - Veröffentlicht auf Amazon.com
Format: Gebundene Ausgabe
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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