Publications

The Volatility Smile

Type
Link
Cost
Paid
Published
2016

The Volatility Smile provides an accessible account of both the classic Black-Scholes-Merton option model and the newer extensions of the model that have been developed over the past forty years. In contrast to textbooks that accentuate formality over intuition and understanding, The Volatility Smile explores both the ideas and the mathematics behind the models, walking a middle line between the rigor of the academic world and the practical insights of the trading desk. Based on a clear formulation of the principles of financial modeling, The Volatility Smile is also a book about how to evaluate and build financial models.

The Volatility Smile covers: