thank you Jim Gatheral, excellent job, very helpful and well worth the money
Jim Gatheral has done everyone in quant fin a service by gathering and organizing his lectures, practical execution issues, and experience in this welcome volume, The Volatility Surface: A Practitioner's Guide. This is simply an excellent, clear work that defies the logic that good valuable books in finance don't get written because authors make more money elsewhere. Compare Gatheral with the execrable collection of disjointed papers with Jarrow's name slapped on it (Volatility, Jarrow, et al,1998). This is the book they were trying to write, but it took a practitioner who had his hands dirty and worked hard to try to explain what he was doing to write it.
Topics are rolled out extremely well, and Gatheral dives right in to where practitioners swim: volatility isn't a single data point, or a smile, but a surface and needs to be thought of that way. In explicating the volatility surface and the possible explanations for shapes Gatheral raises the level of conversation for everyone in the field: this is the way we must think of volatility now (until something better comes along, but given the curse of dimensionality my guess is we will be here for a very long time).
This is an excellent, necessary book. Full disclosure: I am not an expert in this field and only have friends who are (many of them are editorial and AMAZON reader reviewers cited here). This book assists me in having interesting and comprehensible conversations with them, but if there are any flaws they likely would escape me. So far, my friends who are experts all agree: thank you Jim Gatheral, excellent job. Very helpful and well worth the money.
Traders Enlightment
I found this book by Jim Gatheral very useful from a practical standpoint. His insight for trading applications is remarkable. I reccommend this book to any derivative trader to read from cover to cover. Its filled w/ useful tips and concepts that will save you and your firm from the many pitfalls that arise in marketers trying to satisfy their clients at the house's expense.
Managers should make this required reading for all traders.
Simply the best!
Too often we see authors unnecessarily overcomplicate mathematics. Jim Gatheral on the other hand does the reverse. By taking a difficult subject and presenting in a wonderfully concise and pedagogic style he shares with the reader his deep knowledge of volatility. Such an important financial quantity which still appears to invoke fear, Jim Gatheral uses his enviable blend of master practitioner and brilliant academic to combine both the real-world finance principles together with the underlying mathematics to demystify volatility.
The working is beautifully laid out, in a manner that is patient, friendly and approachable - and shows that quant finance need not look greek! This is the measure of a true genius!
As a teacher of mathematical finance, I have no hesitation in strongly recommending this book to students, researchers and practitioners in the field of derivatives.
a MUST read!
The Volatility Surface is a MUST READ for anyone who desires a deep and practical understanding of the pricing and risk management of derivative claims. Thoughtful enough for academics but accessible to the practicioner. The picture on the back jacket is a masterpiece as well.
Applying models to the real world
The book is a great guide to understanding the different models used on Wall Street to capture the intricacies of modeling and pricing derivatives. The books focus of using models as a tool and NOT a solution is a great reminder to both traders and salespeople.
This summarized when the author describes the pricing of a digital cliquet.
"Those sellers using local Vol models will certainly value a digital cliquet at a lower price than sellers using stochastic volatility. Perversely then, those sellers using an inadequate model will almost certainly win the deal and end up short a portfolio of misvalued forward-starting digital options. OR even worse, a dealer could have an appropriate valuation approach but be pushed internally by the salespeople to match (mistaken) competitors' lower prices."
(8 reviews)
