The Resource The volatility smile : an introduction for students and practitioners, Emanuel Derman, Michael B. Miller ; with contributions by David Park
The volatility smile : an introduction for students and practitioners, Emanuel Derman, Michael B. Miller ; with contributions by David Park
Resource Information
The item The volatility smile : an introduction for students and practitioners, Emanuel Derman, Michael B. Miller ; with contributions by David Park represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item The volatility smile : an introduction for students and practitioners, Emanuel Derman, Michael B. Miller ; with contributions by David Park represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
 Summary
 "The Volatility Smile: An Introduction for Students and Practitioners The BlackScholesMerton options 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 BlackScholesMerton 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 & nbsp;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 BlackScholesMerton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jumpdiffusion models"
 Language
 eng
 Extent
 xv, 512 pages
 Note
 Includes index
 Contents

 Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P & L of Hedged Option Strategies in a BlackScholesMerton World Chapter 6: The Effect of Discrete Hedging on P & L Chapter 7: The Effect of Transactions Costs on P & L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: NoArbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: JumpDiffusion Models of the Smile: Introduction Chapter 24: The Full JumpDiffusion Model Appendix A: Some Useful Derivatives of the BlackScholesMerton Model Appendix B: Backward It & ocirc; Integrals References Answers to EndofChapter Problems Index
 Isbn
 9781118959169
 Label
 The volatility smile : an introduction for students and practitioners
 Title
 The volatility smile
 Title remainder
 an introduction for students and practitioners
 Statement of responsibility
 Emanuel Derman, Michael B. Miller ; with contributions by David Park
 Language
 eng
 Summary
 "The Volatility Smile: An Introduction for Students and Practitioners The BlackScholesMerton options 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 BlackScholesMerton 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 & nbsp;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 BlackScholesMerton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jumpdiffusion models"
 Assigning source
 Provided by Publisher
 Cataloging source
 GBVCP
 http://library.link/vocab/creatorName
 Derman, Emanuel
 Index
 index present
 Literary form
 non fiction
 http://library.link/vocab/relatedWorkOrContributorDate
 1973
 http://library.link/vocab/relatedWorkOrContributorName

 Miller, Michael B.
 Park, David Woosang
 Series statement
 Wiley finance series
 http://library.link/vocab/subjectName

 Finance
 Securities
 Label
 The volatility smile : an introduction for students and practitioners, Emanuel Derman, Michael B. Miller ; with contributions by David Park
 Note
 Includes index
 Carrier category
 volume
 Carrier category code

 nc
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P & L of Hedged Option Strategies in a BlackScholesMerton World Chapter 6: The Effect of Discrete Hedging on P & L Chapter 7: The Effect of Transactions Costs on P & L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: NoArbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: JumpDiffusion Models of the Smile: Introduction Chapter 24: The Full JumpDiffusion Model Appendix A: Some Useful Derivatives of the BlackScholesMerton Model Appendix B: Backward It & ocirc; Integrals References Answers to EndofChapter Problems Index
 Control code
 ocn948553079
 Dimensions
 25 cm
 Extent
 xv, 512 pages
 Isbn
 9781118959169
 Media category
 unmediated
 Media MARC source
 rdamedia
 Media type code

 n
 System control number
 (OCoLC)948553079
 Label
 The volatility smile : an introduction for students and practitioners, Emanuel Derman, Michael B. Miller ; with contributions by David Park
 Note
 Includes index
 Carrier category
 volume
 Carrier category code

 nc
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P & L of Hedged Option Strategies in a BlackScholesMerton World Chapter 6: The Effect of Discrete Hedging on P & L Chapter 7: The Effect of Transactions Costs on P & L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: NoArbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: JumpDiffusion Models of the Smile: Introduction Chapter 24: The Full JumpDiffusion Model Appendix A: Some Useful Derivatives of the BlackScholesMerton Model Appendix B: Backward It & ocirc; Integrals References Answers to EndofChapter Problems Index
 Control code
 ocn948553079
 Dimensions
 25 cm
 Extent
 xv, 512 pages
 Isbn
 9781118959169
 Media category
 unmediated
 Media MARC source
 rdamedia
 Media type code

 n
 System control number
 (OCoLC)948553079
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