The Volatility Surface
A Practitioner's Guide
Praise for The Volatility SurfaceI'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 UniversityConcise yet comprehensive, equally attentive to both theory and phenomena, t…
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Produktdetails
- ISBN: 978-0-471-79251-2
- EAN: 9780471792512
- Produktnummer: 19161684
- Verlag: John Wiley & Sons Inc
- Sprache: Englisch
- Erscheinungsjahr: 2006
- Seitenangabe: 208 S.
- Masse: H23.2 cm x B16.0 cm x D2.2 cm 398 g
- Gewicht: 398
- Sonstiges: Professional & Vocational
Über den Autor
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.
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