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.
Beautiful repackage of this Barbara Erskine classic, the story of a remarkable mediaeval noblewoman whose life shaped the history of three crowns The child whose hands would hold three crowns is born in fire. In 1218 an extraordinary princess is born. Her mystical powers and unquenchable spirit will alter the course The Volatility Smile download book of history. Raised by her fiercely Welsh nurse to support the Celtic cause against the predatory English king, Princess Eleyne is taught to worship the old gods and to look into the future and the past. However, unable to identify time and place in her terrifying visions, she is powerless to avert forthcoming tragedy...Despite impassioned resistance, Eleyne's world is shaped by powerful men - but her tempestuous life and loves tie her to the destinies of England, Scotland and Wales...
Author: Emanuel Derman,Michael B. Miller,David Park,
Number of Pages: 528 pages
Published Date: 21 Oct 2016
Publisher: John Wiley & Sons Inc
Publication Country: New York, United States
Download Link: Click Here
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