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The volatility surface : a practitioner's guide /

Praise for The Volatility Surface"I'm thrilled by the appearance of Jim Gatheral's new book TheVolatility Surface. The literature on stochastic volatility isvast, but difficult to penetrate and use. Gatheral's book, bycontrast, is accessible and practical. It successfully charts...

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Bibliographic Details
Main Author: Gatheral, Jim, 1957-
Format: eBook
Language:English
Published: Hoboken, N.J. : John Wiley & Sons, ©2006.
Series:Wiley finance series.
Subjects:
Options (Finance) > Prices > Mathematical models.
Stocks > Prices > Mathematical models.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • The Volatility Surface: A Practitioner's Guide
  • Contents
  • Figures
  • Tables
  • Foreword
  • Preface
  • HOW THIS BOOK IS ORGANIZED
  • Acknowledgments
  • Chapter 1: Stochastic Volatility and Local Volatility
  • STOCHASTIC VOLATILITY
  • LOCAL VOLATILITY
  • Chapter 2: The Heston Model
  • THE PROCESS
  • THE HESTON SOLUTION FOR EUROPEAN OPTIONS
  • DERIVATION OF THE HESTON CHARACTERISTIC FUNCTION
  • SIMULATION OF THE HESTON PROCESS
  • Chapter 3: The Implied Volatility Surface
  • GETTING IMPLIED VOLATILITY FROM LOCAL VOLATILITIES
  • LOCAL VOLATILITY IN THE HESTON MODEL.
  • IMPLIED VOLATILITY IN THE HESTON MODEL
  • THE SPX IMPLIED VOLATILITY SURFACE
  • Chapter 4: The Heston-Nandi Model
  • LOCAL VARIANCE IN THE HESTON-NANDI MODEL
  • A NUMERICAL EXAMPLE
  • DISCUSSION OF RESULTS
  • Chapter 5: Adding Jumps
  • WHY JUMPS ARE NEEDED
  • JUMP DIFFUSION
  • CHARACTERISTIC FUNCTION METHODS
  • STOCHASTIC VOLATILITY PLUS JUMPS
  • Chapter 6: Modeling Default Risk
  • MERTON'S MODEL OF DEFAULT
  • CAPITAL STRUCTURE ARBITRAGE
  • LOCAL AND IMPLIED VOLATILITY IN THE JUMP-TO-RUIN MODEL
  • THE EFFECT OF DEFAULT RISK ON OPTION PRICES
  • THE CREDITGRADES MODEL.
  • Chapter 7: Volatility Surface Asymptotics
  • SHORT EXPIRATIONS
  • THE MEDVEDEV-SCAILLET RESULT
  • INCLUDING JUMPS
  • LONG EXPIRATIONS: FOUQUE, PAPANICOLAOU, AND SIRCAR
  • SMALL VOLATILITY OF VOLATILITY: LEWIS
  • EXTREME STRIKES: ROGER LEE
  • ASYMPTOTICS IN SUMMARY
  • Chapter 8: Dynamics of the Volatility Surface
  • DYNAMICS OF THE VOLATILITY SKEW UNDER STOCHASTIC VOLATILITY
  • DYNAMICS OF THE VOLATILITY SKEW UNDER LOCAL VOLATILITY
  • STOCHASTIC IMPLIED VOLATILITY MODELS
  • DIGITAL OPTIONS AND DIGITAL CLIQUETS
  • Chapter 9: Barrier Options
  • DEFINITIONS
  • LIMITING CASES.
  • THE REFLECTION PRINCIPLE
  • THE LOOKBACK HEDGING ARGUMENT
  • PUT-CALL SYMMETRY
  • QUASISTATIC HEDGING AND QUALITATIVE VALUATION
  • ADJUSTING FOR DISCRETE MONITORING
  • PARISIAN OPTIONS
  • SOME APPLICATIONS OF BARRIER OPTIONS
  • CONCLUSION
  • Chapter 10: Exotic Cliquets
  • LOCALLY CAPPED GLOBALLY FLOORED CLIQUET
  • REVERSE CLIQUET
  • NAPOLEON
  • Chapter 11: Volatility Derivatives
  • SPANNING GENERALIZED EUROPEAN PAYOFFS
  • VARIANCE AND VOLATILITY SWAPS
  • VALUING VOLATILITY DERIVATIVES
  • LISTED QUADRATIC-VARIATION BASED SECURITIES
  • SUMMARY
  • Postscript
  • Bibliography
  • Index.