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The Volatility Surface: A Practitioner's Guide (Wiley Finance)
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by: Jim Gatheral  List Price: $65.00 Amazon.com's Price: $40.95 You Save: $24.05 (37%)as of 09/06/2010 21:05 EDT Availability: Usually ships in 24 hours
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Binding: HardcoverDewey Decimal Number: 332.632220151922 EAN: 9780471792512 ISBN: 0471792519 Label: Wiley Manufacturer: Wiley Number Of Items: 1 Number Of Pages: 208 Publication Date: August 28, 2006 Publisher: Wiley Studio: Wiley Features:
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Browse for similar items by category: Click to Display Editorial Review: Product Description: 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 Average Rating:
 Rating:  - Very Interesting but badly writtenA 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) Read More Rating:  - thank you Jim Gatheral, excellent job, very helpful and well worth the moneyJim 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). ... Read More Rating: - Traders EnlightmentI found this book by Jim Gatheral very useful from a practical standpoint. His insight for trading applications is remarkable. I reccommend this book to any derivative trader to read from cover to cover. Its filled w/ useful tips and concepts that will save you and your firm from the many pitfalls that arise in marketers trying to satisfy their clients at the house's expense. Managers should make this required reading for all traders. Rating: - Simply the best!Too often we see authors unnecessarily overcomplicate mathematics. Jim Gatheral on the other hand does the reverse. By taking a difficult subject and presenting in a wonderfully concise and pedagogic style he shares with the reader his deep knowledge of volatility. Such an important financial quantity which still appears to invoke fear, Jim Gatheral uses his enviable blend of master practitioner and brilliant academic to combine both the real-world finance principles together with the underlying mathematics ... Read More Rating: - a MUST read!The Volatility Surface is a MUST READ for anyone who desires a deep and practical understanding of the pricing and risk management of derivative claims. Thoughtful enough for academics but accessible to the practicioner. The picture on the back jacket is a masterpiece as well. 
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