The Volatility Surface: A Practitioners Guide

Praise for The Volatility SurfaceIm thrilled by the appearance of Jim Gatherals new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatherals book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general modelsachieving remarkable clarity without giving up sophistication, depth, or breadth.Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York UniversityConcise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it.Emanuel Derman, author of My Life as a QuantJim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYUs esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the authors treatment of them is simply the best available in this form.Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York UniversityJim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility.Paul Wilmott, author and mathematicianAs a teacher in the field of mathematical finance, I welcome Jim Gatherals book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it.Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York UniversityJim Gatheral could not have written a better book.Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP