Note: Supplemental materials are not guaranteed with Rental or Used book purchases.
- ISBN: 9780471792512 | 0471792519
- Cover: Hardcover
- Copyright: 9/11/2006
"Written by a practitioner for practitioners, The Volatility Surface examines why options are priced as they are and - starting from a powerful representation of implied volatility in terms of a weighted average of realized volatilities - explores the implications of various popular models for pricing."--BOOK JACKET.
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.
List of Figures | xiii | ||||
List of Tables | xix | ||||
Foreword | xxi | ||||
Preface | xxiii | ||||
Acknowledgments | xxvii | ||||
CHAPTER 1 Stochastic Volatility and Local Volatility | 1 | (14) | |||
|
1 | (6) | |||
|
4 | (3) | |||
|
7 | (8) | |||
|
7 | (1) | |||
|
8 | (1) | |||
|
9 | (2) | |||
|
11 | (2) | |||
|
13 | (1) | |||
|
13 | (2) | |||
CHAPTER 2 The Heston Model | 15 | (10) | |||
|
15 | (1) | |||
|
16 | (4) | |||
|
19 | (1) | |||
|
20 | (1) | |||
|
21 | (4) | |||
|
22 | (1) | |||
|
23 | (1) | |||
|
24 | (1) | |||
CHAPTER 3 The Implied Volatility Surface | 25 | (18) | |||
|
25 | (6) | |||
|
25 | (1) | |||
|
26 | (5) | |||
|
31 | (2) | |||
|
32 | (1) | |||
|
33 | (3) | |||
|
34 | (1) | |||
|
35 | (1) | |||
|
36 | (7) | |||
|
37 | (3) | |||
|
40 | (2) | |||
|
42 | (1) | |||
CHAPTER 4 The Heston-Nandi Model | 43 | (7) | |||
|
43 | (1) | |||
|
44 | (5) | |||
|
45 | (1) | |||
|
45 | (1) | |||
|
46 | (3) | |||
|
49 | (1) | |||
CHAPTER 5 Adding Jumps | 50 | (24) | |||
|
50 | (2) | |||
|
52 | (4) | |||
|
52 | (2) | |||
|
54 | (2) | |||
|
56 | (9) | |||
|
56 | (1) | |||
|
57 | (1) | |||
|
58 | (1) | |||
|
58 | (2) | |||
|
60 | (1) | |||
|
60 | (1) | |||
|
61 | (4) | |||
|
65 | (9) | |||
|
65 | (1) | |||
|
66 | (2) | |||
|
68 | (3) | |||
|
71 | (2) | |||
|
73 | (1) | |||
CHAPTER 6 Modeling Default Risk | 74 | (13) | |||
|
74 | (3) | |||
|
75 | (1) | |||
|
76 | (1) | |||
|
77 | (2) | |||
|
77 | (1) | |||
|
78 | (1) | |||
|
79 | (3) | |||
|
82 | (2) | |||
|
84 | (3) | |||
|
84 | (1) | |||
|
85 | (1) | |||
|
86 | (1) | |||
|
86 | (1) | |||
CHAPTER 7 Volatility Surface Asymptotics | 87 | (14) | |||
|
87 | (2) | |||
|
89 | (4) | |||
|
91 | (2) | |||
|
93 | (2) | |||
|
94 | (1) | |||
|
95 | (1) | |||
|
96 | (1) | |||
|
97 | (3) | |||
|
99 | (1) | |||
|
99 | (1) | |||
|
100 | (1) | |||
CHAPTER 8 Dynamics of the Volatility Surface | 101 | (6) | |||
|
101 | (1) | |||
|
102 | (1) | |||
|
103 | (1) | |||
|
103 | (4) | |||
|
104 | (1) | |||
|
104 | (3) | |||
CHAPTER 9 Barrier Options | 107 | (15) | |||
|
107 | (1) | |||
|
108 | (1) | |||
|
108 | (1) | |||
|
109 | (1) | |||
|
109 | (3) | |||
|
112 | (1) | |||
|
113 | (1) | |||
|
113 | (1) | |||
|
114 | (3) | |||
|
114 | (1) | |||
|
115 | (1) | |||
|
116 | (1) | |||
|
117 | (1) | |||
|
117 | (3) | |||
|
119 | (1) | |||
|
120 | (1) | |||
|
120 | (1) | |||
|
120 | (1) | |||
|
120 | (1) | |||
|
121 | (1) | |||
CHAPTER 10 Exotic Cliquets 122 | |||||
|
122 | (3) | |||
|
123 | (1) | |||
|
124 | (1) | |||
|
125 | (2) | |||
|
126 | (1) | |||
|
127 | (1) | |||
|
127 | (6) | |||
|
128 | (2) | |||
|
130 | (1) | |||
|
130 | (1) | |||
|
131 | (2) | |||
CHAPTER 11 Volatility Derivatives | 133 | (29) | |||
|
133 | (3) | |||
|
134 | (1) | |||
|
135 | (1) | |||
|
135 | (1) | |||
|
136 | (10) | |||
|
137 | (1) | |||
|
138 | (1) | |||
|
138 | (2) | |||
|
140 | (3) | |||
|
143 | (1) | |||
|
144 | (2) | |||
|
146 | (10) | |||
|
146 | (1) | |||
|
147 | (2) | |||
|
149 | (2) | |||
|
151 | (3) | |||
|
154 | (2) | |||
|
156 | (5) | |||
|
156 | (2) | |||
|
158 | (2) | |||
|
160 | (1) | |||
|
161 | (1) | |||
Postscript | 162 | (1) | |||
Bibliography | 163 | (6) | |||
Index | 169 |
What is included with this book?
The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.
The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.