View Jim Gatheral’s profile on LinkedIn, the world’s largest professional community. Jim has 6 jobs listed on their profile. See the complete profile on LinkedIn. Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Jim Gatheral’s 42 research works with citations and reads, including: The Zumbach effect under rough Heston. Jim Gatheral has expertise in.
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Jim Gatheral – Wikipedia
Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Gathfral Sciences, New York University “Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences jjm pricing and hedging, and the theories that struggle to explain it.
This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU’s esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and gathegal author’s treatment of them is simply the best available in this form.
In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility. Gathetal by a Wall Street practitioner with extensive market and teaching experience, The Volatility Gathdral gives students access to a level of knowledge on derivatives which was not previously available.
I strongly recommend it. The Best Books of Check out the top books of the year on our page Best Books of Looking for beautiful books? Visit our Beautiful Books page and find lovely books for kids, photography lovers and more. Other books in this series. Value Investing Bruce C. Investment Banking Joshua Rosenbaum. Investment Valuation Aswath Damodaran.
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Inside the Black Box Rishi K. Quantitative Value Wesley R. Financial Modeling and Valuation Paul Pignataro. Flap copy Understanding the volatility surface is a key objective for both practitioners and academics in the field of finance.
Implied volatilities evolve randomly and so gatheraal of gatueral volatility surface–which is formed from implied volatilities of all strikes and expirations–need to explicitly reflect this gathetal in order to accurately price, trade, and manage the risk of derivative products.
Author and financial professional Jim Gatheral is intimately familiar with gxtheral issues and, in The Volatility Surface, he shares his many years of knowledge and experience to help make sense of it all. Written by a practitionerfor practitioners, The Volatility Surface examines why options are priced as they are and–starting from a powerful representation of implied volatility in terms of a weighted average ofrealized volatilities–explores the implications of various popular models for pricing.
The first half of this book focuses on setting up the theoretical framework, while the later chapters are oriented towards practical applications. Informative and accessible, The Volatility Surface: Contains a detailed derivation of the Heston model and explanations of many other popular models such as SVJ, SVJJ, SABR, and CreditGrades Discusses the characteristics gatherl various types of exotic options from the humble barrier option to the super exotic Napoleon Exhaustively covers volatility derivatives with elegant and robust presentations of the latest research Examines performance of exotic cliquet contracts through in-depth case studies of actual bonds that have already matured The purpose of The Volatility Surface is not to just present results, but to provide you with ways of thinking about and solving practical problems that should have many other areas of application.
So by the time you finish reading this guide, you’ll have a firm understanding of volatility surface modeling as well as a better idea of how you can apply the results of these models to real-world situations. Filled with in-depth insights, expert advice, and real-world examples, The Volatility Surface will get you up to speed on the latest theories underlying options pricing as well as familiarize you with the history and practice of trading in the equity derivatives markets.
Table of contents List of Figures. Stochastic Volatility and Local Volatility. The Heston Solution for European Options. The Complex Logarithm in the Integration 2. Derivation of the Heston Characteristic Function. Simulation of the Heston Process. Sampling from the Exact Transition Law. Why the Heston Model Is so Popular. The Implied Volatility Surface. Getting Implied Volatility from Local Volatilities.
Local Volatility in the Heston Model. Implied Volatility in the Heston Model. A Heston Fit to the Data.
Local Variance in the Heston-Nandi Model. Computation of Local Volatilities. Computation of Implied Volatilities.
Why Jumps are Needed. Derivation of the Valuation Equation. Examples of Characteristic Functions for Specific Processes. Computing Option Prices from the Characteristic Function. Computing the At-the-Money Volatility Skew. How Jumps Impact the Volatility Skew.
Stochastic Volatility Plus Jumps. Merton’s Model of Default. Implications for the Volatility Skew. Fouque, Papanicolaou, and Sircar. Small Volatility of Volatility: Dynamics of the Volatility Surface. Gathera of the Volatility Skew gatherzl Stochastic Volatility. Dynamics of the Volatility Skew under Local Volatility. Stochastic Implied Volatility Models. Digital Options and Digital Cliquets.
The Lookback Hedging Argument. QuasiStatic Hedging and Qualitative Valuation. Adjusting for Discrete Monitoring. Discretely Monitored Lookback Options.
Some Applications of Barrier Options. Locally Capped Globally Floored Cliquet. Valuation under Heston and Local Volatility Assumptions. Spanning Generalized European Payoffs.
Jim Gatheral – Baruch MFE Program
Variance and Volatility Swaps. Variance Swaps in the Heston Model. Dependence on Skew and Curvature. The Effect of Jumps.
Convexity Adjustment in the Heston Model. Fair Value of the Power Payoff.
The Volatility Surface : A Practitioner’s Guide
A Simple Lognormal Model. More on Model Independence. Listed Quadratic-Variation Based Securities. I do recommend this book Gatheral obtained a PhD in theoretical physics from Cambridge Universityin Since then, he has been involved in all of the major derivative product areasas a bookrunner, risk manager, and quantitative analyst in London, Tokyo, and New York.
From toDr. His current research focus is equity market microstructure and gatherap trading. Book ratings by Goodreads. Goodreads is the world’s largest site for readers with over 50 million reviews. We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book.