The Volatility Surface
Home > Business and Economics > Finance and accounting > Finance and the finance industry > The Volatility Surface: A Practitioner's Guide(357 Wiley Finance)
The Volatility Surface: A Practitioner's Guide(357 Wiley Finance)

The Volatility Surface: A Practitioner's Guide(357 Wiley Finance)


     0     
5
4
3
2
1



Out of Stock


Notify me when this book is in stock
X
About the Book

Table of Contents:
List of Figures. List of Tables. Foreword. Preface. Acknowledgments. Chapter 1: Stochastic Volatility and Local Volatility. Stochastic Volatility. Derivation of the Valuation Equation, Local Volatility, History, A Brief Review of Dupire’s Work, Derivation of the Dupire Equation, Local Volatility in Terms of Implied Volatility, Special Case: No Skew, Local Variance as a Conditional Expectation of Instantaneous Variance. Chapter 2: The Heston Model. The Process. The Heston Solution for European Options. A Digression: The Complex Logarithm in the Integration (2.13). Derivation of the Heston Characteristic Function. Simulation of the Heston Process. Milstein Discretization. Sampling from the Exact Transition Law. Why the Heston Model Is so Popular. Chapter 3: The Implied Volatility Surface. Getting Implied Volatility from Local Volatilities. Model Calibration. Understanding Implied Volatility. Local Volatility in the Heston Model. Ansatz. Implied Volatility in the Heston Model. The Term Structure of Black-Scholes Implied Volatility in the Heston Model. The Black-Scholes Implied Volatility Skew in the Heston Model. The SPX Implied Volatility Surface. Another Digression: The SVI Parameterization. A Heston Fit to the Data. Final Remarks on SV Models and Fitting the Volatility Surface. Chapter 4: The Heston-Nandi Model. Local Variance in the Heston-Nandi Model. A Numerical Example. The Heston-Nandi Density. Computation of Local Volatilities. Computation of Implied Volatilities. Discussion of Results. Chapter 5: Adding Jumps. Why Jumps are Needed. Jump Diffusion. Derivation of the Valuation Equation. Uncertain Jump Size. Characteristic Function Methods. L'evy Processes. Examples of Characteristic Functions for Specific Processes. Computing Option Prices from the Characteristic Function. Proof of (5.6). Computing Implied Volatility. Computing the At-the-Money Volatility Skew. How Jumps Impact the Volatility Skew. Stochastic Volatility Plus Jumps. Stochastic Volatility Plus Jumps in the Underlying Only (SVJ). Some Empirical Fits to the SPX Volatility Surface. Stochastic Volatility with Simultaneous Jumps in Stock Price and Volatility (SVJJ). SVJ Fit to the September 15, 2005, SPX Option Data. Why the SVJ Model Wins. Chapter 6: Modeling Default Risk. Merton’s Model of Default. Intuition. Implications for the Volatility Skew. Capital Structure Arbitrage. Put-Call Parity. The Arbitrage. Local and Implied Volatility in the Jump-to-Ruin Model. The Effect of Default Risk on Option Prices. The CreditGrades Model. Model Setup. Survival Probability. Equity Volatility. Model Calibration. Chapter 7: Volatility Surface Asymptotics. Short Expirations. The Medvedev-Scaillet Result. The SABR Model. Including Jumps. Corollaries. Long Expirations: Fouque, Papanicolaou, and Sircar. Small Volatility of Volatility: Lewis. Extreme Strikes: Roger Lee. Example: Black-Scholes. Stochastic Volatility Models. Asymptotics in Summary. Chapter 8: Dynamics of the Volatility Surface. Dynamics of the Volatility Skew under Stochastic Volatility. Dynamics of the Volatility Skew under Local Volatility. Stochastic Implied Volatility Models. Digital Options and Digital Cliquets. Valuing Digital Options. Digital Cliquets. Chapter 9: Barrier Options. Definitions. Limiting Cases. Limit Orders. European Capped Calls. The Reflection Principle. The Lookback Hedging Argument. One-Touch Options Again. Put-Call Symmetry. QuasiStatic Hedging and Qualitative Valuation. Out-of-the-Money Barrier Options. One-Touch Options. Live-Out Options. Lookback Options. Adjusting for Discrete Monitoring. Discretely Monitored Lookback Options. Parisian Options. Some Applications of Barrier Options. Ladders. Ranges. Conclusion. Chapter 10: Exotic Cliquets. Locally Capped Globally Floored Cliquet. Valuation under Heston and Local Volatility Assumptions. Performance. Reverse Cliquet. Valuation under Heston and Local Volatility Assumptions. Performance. Napoleon. Valuation under Heston and Local Volatility Assumptions. Performance. Investor Motivation. More on Napoleons. Chapter 11: Volatility Derivatives. Spanning Generalized European Payoffs. Example: European Options. Example: Amortizing Options. The Log Contract. Variance and Volatility Swaps. Variance Swaps. Variance Swaps in the Heston Model. Dependence on Skew and Curvature. The Effect of Jumps. Volatility Swaps. Convexity Adjustment in the Heston Model. Valuing Volatility Derivatives. Fair Value of the Power Payoff. The Laplace Transform of Quadratic Variation under Zero Correlation. The Fair Value of Volatility under Zero Correlation. A Simple Lognormal Model. Options on Volatility: More on Model Independence. Listed Quadratic-Variation Based Securities. The VIX Index. VXB Futures. Knock-on Benefits. Summary. Postscript. Bibliography. Index.

About the Author :
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. 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.

Review :
“…I do recommend this book…” (Zentralblatt MATH , Vol. 1118 2007/20) “…I do recommend this book…” (Zentralblatt MATH , Vol. 1118 2007/20) “…I do recommend this book…” (Zentralblatt MATH , Vol. 1118 2007/20) “…I do recommend this book…” (Zentralblatt MATH , Vol. 1118 2007/20)


Best Sellers


Product Details
  • ISBN-13: 9780470345566
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Language: English
  • Series Title: 357 Wiley Finance
  • ISBN-10: 047034556X
  • Publisher Date: 18 May 2009
  • Binding: Digital (delivered electronically)
  • No of Pages: 208
  • Sub Title: A Practitioner's Guide


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
The Volatility Surface: A Practitioner's Guide(357 Wiley Finance)
John Wiley & Sons Inc -
The Volatility Surface: A Practitioner's Guide(357 Wiley Finance)
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

The Volatility Surface: A Practitioner's Guide(357 Wiley Finance)

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals


    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!