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Author Gatheral, Jim, 1957-

Title The volatility surface : a practitioner's guide / Jim Gatheral ; foreword by Nassim Nicholas Taleb.

Published Hoboken, N.J. : John Wiley & Sons, [2006]


Location Call No. Status
 UniM Giblin Eunson  332.632220151 GATH    AVAILABLE
Physical description xxvii, 179 pages : illustrations ; 24 cm.
Series Wiley finance series.
Wiley finance series.
Bibliography Includes bibliographical references (pages 163-167) and index.
Contents Ch. 1. Stochastic volatility and local volatility -- Ch. 2. The Heston model -- Ch. 3. The implied volatility surface -- Ch. 4. The Heston-Nandi model -- Ch. 5. Adding jumps -- Ch. 6. Modeling default risk -- Ch. 7. Volatility surface asymptotics -- Ch. 8. Dynamics of the volatility surface -- Ch. 9. Barrier options -- Ch. 10. Exotic cliquets -- Ch. 11. Volatility derivatives.
Summary "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.
Subject Options (Finance) -- Prices -- Mathematical models.
Stocks -- Prices -- Mathematical models.
Standard Number 9780471792512
ISBN 0471792519 (cloth)