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Option Valuation Under Stochastic Volatility: With Mathematica Code

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Option Valuation Under Stochastic Volatility: With Mathematica Code (Paperback)

by Alan L. Lewis (Author)

5.0 out of 5 stars See all reviews (1 customer review)

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Product details

Paperback: 350 pages
Publisher: Finance Pr (Mar 2000)
Language English
ISBN-10: 0967637201
ISBN-13: 978-0967637204
Product Dimensions: 22.6 x 15.2 x 2.5 cm

Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)

Amazon.co.uk Sales Rank: 569,742 in Books (See Bestsellers in Books)

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Product Description

Peter Carr, Ph.D., Principal, Banc of America Securities

"This exciting book is the first one to focus on the pervasive role of stochastic volatility in option pricing. Since options exist primarily as the fundamental mechanism for trading volatility, students of the fine art of option pricing are advised to pounce."

Prof. Nizar Touzi, Department of Mathematics, University of Paris I, Leading expert on stochastic volatility models

"I found this book extremely interesting, and valuable for both academics and practitioners. It treats many important aspects of the stochastic volatility problem with novel methods. I especially liked the treatment of the term structure of implied volatility in Chapter 6. This book is a very nice contribution to the literature."

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Most Helpful Customer Reviews

5.0 out of 5 stars Excellent book, 27 Dec 2007

By	Quan Tran (Vietnam) - See all my reviews

This is the best book about stochastic volatility I've ever read. It's even better than The Surface Volatility by Jim Gatheral. It covered all typical stochastic volatility models in industry (Heston, sabr (log normal volatility), 3/2, CEV) with many ideas. If your work concerns stochastic volatility model, you definitely need this book. Although you could find 4 free chapters in the internet (3 on the author website and 1 on Wilmott forum), you should buy this very interesting book. Thank you Alan for writing this book.

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