000			03070nam a22003617a 4500
001			19063370
003			IIITD
005			20221202020002.0
008			160421s2016 njua 001 0 eng
010			_a 2016012191
020			_a9781118959169
040			_aDLC _beng _cDLC _erda _dDLC
042			_apcc
050	0	0	_aHG106 _b.D48 2016
082	0	0	_a332.63 _bDER-V
084			_aBUS027000 _2bisacsh
100	1		_aDerman, Emanuel
245	1	4	_aThe volatility smile _cby Emanuel Derman and Michael B. Miller
260			_aHoboken : _bWiley, _c©2016
300			_axv, 512 p. : _bill. ; _c24 cm.
490	0		_aThe Wiley finance series
500			_aThis book includes index.
520			_a"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"--
520			_a"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"--
650		0	_aFinance _xMathematical models.
650		0	_aSecurities _xValuation.
650		7	_aBUSINESS & ECONOMICS / Finance. _2bisacsh
700	1		_aMiller, Michael B.
776	0	8	_iOnline version: _aDerman, Emanuel, author. _tVolatility smile _dHoboken, New Jersey : Wiley, 2016 _z9781118959176 _w(DLC) 2016019398
906			_a7 _bcbc _corignew _d1 _eecip _f20 _gy-gencatlg
942			_2ddc _cBK _01
999			_c156952 _d156952