Volatility Surface : A Practitioner’s Guide (A Practitioner’s Guide)

Penulis
Gatheral, Jim/ Taleb, Nassim Nicholas (FRW)
Penerbit
Wiley
Diterbitkan
20060901
ISBN
9780471792512
Kawasan pendaftaran ISBN
Kawasan berbahasa Inggeris (ISBN 978-0)

Huraian

Understanding the volatility surface is a key objective for both practitioners and academics in the field of finance. Implied volatilities evolve randomly and so models of the volatility surface-which is formed from implied volatilities of all strikes and expirations-need to explicitly reflect this randomness in order to accurately price, trade, and manage the risk of derivative products.