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The Volatility Smile
Emanuel Derman
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Description for The Volatility Smile
Hardcover. Cutting edge volatility and options pricing from the world's top quant The Volatility Smile is a comprehensive introduction to this important topic in derivatives pricing and options trading, by celebrated author and quant Emanuel Derman. Series: Wiley Finance. Num Pages: 304 pages. BIC Classification: KFF. Category: (P) Professional & Vocational. Weight in Grams: 666.
The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a ... Read more
The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a ... Read more
Product Details
Publisher
John Wiley & Sons Inc
Format
Hardback
Publication date
2016
Series
Wiley Finance
Condition
New
Weight
762g
Number of Pages
528
Place of Publication
New York, United States
ISBN
9781118959169
SKU
V9781118959169
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-18
About Emanuel Derman
EMANUEL DERMAN is a professor at Columbia University, where he directs its financial engineering program. He is the author of My Life as a Quant and Models.Behaving.Badly. MICHAEL B. MILLER is the founder and CEO of Northstar Risk Corp. He is the author of Mathematics and Statistics for Financial Risk Management, Second Edition.
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