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The Volatility Smile (Wiley Finance)
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The Volatility Smile The Black-Scholes-Merton option 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 first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.
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Product details
Series: Wiley Finance
Hardcover: 528 pages
Publisher: Wiley; 1 edition (September 6, 2016)
Language: English
ISBN-10: 9781118959169
ISBN-13: 978-1118959169
ASIN: 1118959167
Product Dimensions:
5.8 x 1.7 x 9.1 inches
Shipping Weight: 1.4 pounds (View shipping rates and policies)
Average Customer Review:
4.2 out of 5 stars
12 customer reviews
Amazon Best Sellers Rank:
#274,854 in Books (See Top 100 in Books)
Emanuel Derman’s “The Volatility Smile†is an excellent book for those who have learned something about derivatives and now need to think on their own.More than just repeating known formulas and theorems, the author is always careful to distinguish between theories and models, alternating concepts and practice (including end-of-chapter exercises).I really enjoyed Chapters 14 to 18, dealing with Local Volatility and its consequences. As one of the first quants (Bruno Dupire being the other) to develop and publish a local volatility model, Derman explains clearly what is the goal of the model and shows how to observe and test its assumptions.Recommended for those who are learning quantitative finance and an useful addition even to experienced practitioners, who might benefit from the clear expositions in the book in order to better understand how far their results should carry and how better to communicate them.
Somewhat basic introduction to volatility surfaces. Very long but doesn't cover advanced concepts in depth.Would recommend Bergomi for those looking to go deeper.
To explain the concepts, author relied on intuition first then on math.
Well written even for those with basic understanding of options math..
Emanuel Derman's books are always amazing and inspirational - My Life as A Quant, Models.Behaving.Badly and now The Volatility Smile, an excellent book full of insight and intuition, an outstanding guide for exciting volatility world!
I have read or at least looked at every book on vol smile published in the last 20 years. So I immediately ordered this book as soon as it was announced. Unfortunately, I was disappointed. There is no new research in this volume. It does have a nice summary of classic results, but most of these go back to mid-90s. If you are a financial engineering student, this book might suffice as an introduction into the field. But do not expect to find much on the causes of smile here. If you are an option trader, look elsewhere. I think I can get much more insight reading Fischer Black. If you are looking for math models, there are better books from the SocGen team - Bergomi, Labordere, Guyon.
The best book on vol modeling I have read
I am only 6 chapters in but have been enjoying it.
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