The volatility surface : a practitioner's guide / Jim Gatheral ; foreword by Nassim Nicholas Taleb.
"Written by a practitioner for 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 of realized volatilities - explores the implications of various popular models for...
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J. :
John Wiley & Sons,
[2006]
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| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | Contributor biographical information |
| Summary: | "Written by a practitioner for 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 of realized volatilities - explores the implications of various popular models for pricing."--BOOK JACKET. |
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| Physical Description: | xxvii, 179 pages : illustrations ; 24 cm. |
| Bibliography: | Includes bibliographical references (pages 163-167) and index. |
| ISBN: | 0471792519 9780471792512 |