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on 1 May 2009
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.
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on 11 January 2007
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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on 31 October 2013
The book which which introduced the SVI parametrisation which is a market reference for volatility surface parametrisation but lots of mistakes in the book.
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on 6 November 2012
I wanted to find insights into volatility surface models and interpreting their shape, unfortunately Im just not that well schooled in mathematical theorem, mathematical proofing its mathematical deduction and mathematical modelling in order to follow the content in any meaningful way... I feel an opportunity has been missed here, because I still believe this material far more accessible than to be indicated in this book. Advanced mathematics is a language, it can be used to define the trajectory and spin of a ball, but sometimes what is needed is a step away from the maths and a more holistic view of those nuances observed to emanate in order to contextualise. On first glance then, this book delivers on the mechanics but is drudgery personified if you're not looking to mathematically model therum in that mathematical language. I will attempt it again soon looking to skip to the summaries to see if I can extract better value from it.. that said lets be honest here, Im not looking forward to it.
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on 13 September 2006
That's the best book about volatility I've ever read !

Even some people don't like the author, just jealousy, He changed deeply the way of working as quant at Merril.

Great book !
0Comment5 of 20 people found this helpful. Was this review helpful to you?YesNoReport abuse