The volatility smile
Material type: TextSeries: The Wiley finance seriesPublication details: Hoboken : Wiley, ©2016Description: xv, 512 p. : ill. ; 24 cmISBN:- 9781118959169
- 332.63 DER-V
- HG106 .D48 2016
- BUS027000
Item type | Current library | Collection | Call number | Status | Notes | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|---|---|
Books | IIITD General Stacks | Economics | 332.63 DER-V (Browse shelf(Opens below)) | Checked out | Gifted by Dr. Prasoon Tiwari | 23/09/2024 | G02099 |
Browsing IIITD shelves, Shelving location: General Stacks, Collection: Economics Close shelf browser (Hides shelf browser)
332.609 TRA-M Money masters of our time | 332.6209 LEW-F Flash boys : | 332.63 AUG-T Trading options at expiration : | 332.63 DER-V The volatility smile | 332.63 EDW-T Technical analysis of stock trends | 332.63 GRA-Q Quantitative momentum : a practitioner's guide to building a momentum-based stock selection system | 332.63 NAT-O Option volatility & pricing : |
This book includes index.
"The Volatility Smile: An Introduction for Students and Practitioners The Black-Scholes-Merton options 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 unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: The principles of valuation Static and dynamic replication The Black-Scholes-Merton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jump-diffusion models"--
"The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them"--
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