Facebook Twitter
Now With Over 23,000 Reviews!
Sign up now

The Volatility Surface: A Practitioner's Guide

Category: Books
Praise for The Volatility Surface
Filter reviews by
Page:   1
Displaying 1-1 of 1 Total Reviews
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."

This review is the subjective opinion of an Investimonials member and not of Investimonials LLC
1 of 1 people have found this review helpful.
Embed Permalink Report
Was this review helpful?   Yes   No
Review Updated

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

User’s Review Ratings

Page:   1
Displaying 1-1 of 1 Total Reviews
Recommended For
Investimonials Sponsors
Featured Investing Products