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Review
“…I do recommend this book…” (Zentralblatt MATH , Vol. 1118 2007/20)
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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
"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
Inside This Book
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
4 of 4 people found the following review helpful
Format:Hardcover
Excellent toolbox for volatility modelling. Models are developped in a rigorous yet accessible way, while keeping an eye on how they are going to be used.
15 of 17 people found the following review helpful
Format:Hardcover
Too often we see authors unnecessarily overcomplicate mathematics. 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 be shrouded in 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 to demystify volatility.
The working is beautifully laid out, in a manner that is patient, friendly and approachable - and shows that quant finance need not look greek! This is the measure of a true genius!
As a teacher of mathematical finance, I have no hesitation in strongly recommending this book to students, researchers and practitioners in the field of derivatives.
The working is beautifully laid out, in a manner that is patient, friendly and approachable - and shows that quant finance need not look greek! This is the measure of a true genius!
As a teacher of mathematical finance, I have no hesitation in strongly recommending this book to students, researchers and practitioners in the field of derivatives.
6 of 8 people found the following review helpful
Format:Hardcover
Excellent book. I used Jim's lecture notes before the book was published, they were (and still are) the best notes for equity quants. The book essentially contains published lecture notes and I bought it as an aknowledgment to his contribution to equity quant comunity.
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