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The Volatility Smile (Wiley Finance)

Emanuel Derman Michael B. Miller David Park January 10, 2020

The Volatility Smile (Wiley Finance) Emanuel Derman Michael B. Miller David Park 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 praThe 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 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 Volatility Smile (Wiley Finance) Emanuel Derman Michael B. Miller David Park

  • UNLIMITED BOOK ☆ The Volatility Smile (Wiley Finance) - by Emanuel Derman Michael B. Miller David Park
    206 Emanuel Derman Michael B. Miller David Park
  • thumbnail Title: UNLIMITED BOOK ☆ The Volatility Smile (Wiley Finance) - by Emanuel Derman Michael B. Miller David Park
    Posted by:Emanuel Derman Michael B. Miller David Park
    Published :2020-01-10T03:01:42+00:00