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Smile Pricing Explained (Financial Engineering Explained) Paperback – 29 Aug 2014

4.5 out of 5 stars 2 customer reviews

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Product details

  • Paperback: 236 pages
  • Publisher: Palgrave Macmillan; 2014 ed. edition (29 Aug. 2014)
  • Language: English
  • ISBN-10: 1137335718
  • ISBN-13: 978-1137335715
  • Product Dimensions: 15.5 x 1.4 x 23.5 cm
  • Average Customer Review: 4.5 out of 5 stars 2 customer reviews
  • Amazon Bestsellers Rank: 384,236 in Books (See Top 100 in Books)
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Product description


'A gem of a book, 'Smile Pricing Explained' oozes with the enthusiasm that its author Dr Austing, a seasoned practitioner and expert on multi-asset smile modelling, has for the subject. The book takes us on a concise but very exciting journey from the carefully yet succinctly explained basics of arbitrage pricing to the cutting edge of correlation smile, a journey that is fuelled by generous measures of intuition and practical advice. There is no doubt that students and practising quants alike will enjoy this book immensely and will learn a lot from it too.'

— Vladimir Piterbarg, Managing Director and Head of Quantitative Analytics, Barclays

'Smile Pricing Explained takes the reader on a sophisticated journey starting with the elements of arbitrage pricing theory and ending right at the frontier of quant practice with impressively succinct explanations of local stochastic volatility and local correlation models. Students and experienced practitioners alike will find this concise but self-contained book both a pleasure to read and an invaluable reference.'

— Jim Gatheral, Presidential Professor, Baruch College, CUNY and author of The Volatility Surface

Finally a book that explains Ito's lemma in exact and yet tangibly applied terms. I was elated!'

— Peter Jäckel, Managing Director of OTC Analytics, Deputy Head of VTB Capital Quantitative Research, and author of Monte Carlo methods in finance

'This is a very interesting book on smile modelling written with passion by Dr Peter Austing, a researcher at Imperial College London with extensive industry experience using models in practice. It is rare finding authors with this combination of skills working as full time academics, and the book reflects this unique background. The approach in the book is not just using rigorous mathematics for smile modelling, but also letting the reader understand why this is important and how the models can then be implemented. I found the chapter on local stochastic volatility and the final chapter on the multivariate setting particularly appealing. Eclectic, rigorous, practical and written with passion, this book is recommended to both the advanced expert and the newcomer.'

— Professor Damiano Brigo, Dept. of Mathematics, Imperial College London, co-originator of the no-arbitrage mixture dynamics approach to smile modelling

'A super book which describes the state of the art for skew option pricing, specifically in FX markets. It brings together both theory and practice, including accessible mathematical derivations, practical market considerations and implementation techniques. Models described in detail include both local and stochastic volatility, the synthesis of the two, and the author's own ground-breaking work on multi-asset skew pricing. Well-written and filled with enthusiasm for all aspects of the subject.'

— Martin Baxter, Head of Quantitative Research, Nomura, (co-author of the bestselling Financial Calculus)

'Aristotle realized that the earth is not flat in 330 BC, but it was not until the crash of 1987 that option market makers drew the same conclusion for the implied vol surface. This friendly book explores two widely accepted extensions of the Black Scholes paradigm called local vol and stochastic vol. The reader of this book will have a good understanding of these concepts in the continuous-time continuous sample-path setting that is widely used in practice.'

— Peter Carr, PhD., Global Head of Market Modeling, Morgan Stanley and Executive

Book Description

A clear, concise and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing.

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20 August 2016
Format: Paperback|Verified Purchase
9 November 2014
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Amazon.com: 3.4 out of 5 stars 3 reviews
5.0 out of 5 starspurely awesome
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1.0 out of 5 starsThe font is way to small to be read comfortably. I could not read the book.
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5.0 out of 5 starsMust Have !!
9 November 2014 - Published on Amazon.com
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