The Volatility Surface

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 amiddle ground between specific examples and generalmodels--achieving remarkable clarity without giving upsophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, MathematicalFinance Committee, Courant Institute of Mathematical Sciences, NewYork University "Concise yet comprehensive, equally attentive to both theory andphenomena, this book provides an unsurpassed account of thepeculiarities of the implied volatility surface, its consequencesfor pricing and hedging, and the theories that struggle to explainit." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. Thisvery fine book is an outgrowth of the lecture notes prepared forone of the most popular classes at NYU's esteemed CourantInstitute. The topics covered are at the forefront of research inmathematical finance and the author's treatment of them is simplythe best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research,Bloomberg LP Director of the Masters Program in MathematicalFinance, New York University "Jim Gatheral is an acknowledged master of advanced modeling forderivatives. In The Volatility Surface he reveals the secrets ofdealing with the most important but most elusive of financialquantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome JimGatheral's book as a significant development. Written by a WallStreet practitioner with extensive market and teaching experience,The Volatility Surface gives students access to a level ofknowledge on derivatives which was not previously available. Istrongly recommend it." --Marco Avellaneda, Director, Division of Mathematical FinanceCourant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge ResearchAward Quantitative Research, Bloomberg LP