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The Volatility Surface: A Practitioner's Guide

https://www.amazon.c..
Category: Books
Praise for The Volatility Surface
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Applying models to the real world
The book is a great guide to understanding the different models used on Wall Street to capture the intricacies of modeling and pricing derivatives. The books focus of using models as a tool and NOT a solution is a great reminder to both traders and salespeople.

This summarized when the author describes the pricing of a digital cliquet.

"Those sellers using local Vol models will certainly value a digital cliquet at a lower price than sellers using stochastic volatility. Perversely then, those sellers using an inadequate model will almost certainly win the deal and end up short a portfolio of misvalued forward-starting digital options. OR even worse, a dealer could have an appropriate valuation approach but be pushed internally by the salespeople to match (mistaken) competitors' lower prices."

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This review is the subjective opinion of an Investimonials.com member and not of Investimonials LLC.
BigBenjamins Newport, South Wales

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