The Volatility Smile
$159.21
- Hardcover
528 pages
- Release Date
25 August 2016
Summary
Decoding the Smile: Mastering Option Valuation Beyond Black-Scholes
The Volatility Smile
The Black-Scholes-Merton option model revolutionized 20th-century finance and remains the cornerstone of financial theory. Yet, it clashes with real-world option market behavior. Implied volatilities plotted against strike prices often form a “smile” or skew, a phenomenon the model can’t explain. Option valuation remains an evolving field, spurring the development of num…
Book Details
| ISBN-13: | 9781118959169 |
|---|---|
| ISBN-10: | 1118959167 |
| Series: | Wiley Finance |
| Author: | Emanuel Derman, Michael B. Miller, David Park |
| Publisher: | John Wiley & Sons Inc |
| Imprint: | John Wiley & Sons Inc |
| Format: | Hardcover |
| Number of Pages: | 528 |
| Edition: | 1st |
| Release Date: | 25 August 2016 |
| Weight: | 771g |
| Dimensions: | 229mm x 163mm x 46mm |
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About The Author
Emanuel Derman
EMANUEL DERMAN is a professor at Columbia University, where he directs its financial engineering program. He is the author of My Life as a Quant and Models.Behaving.Badly.
MICHAEL B. MILLER is the founder and CEO of Northstar Risk Corp. He is the author of Mathematics and Statistics for Financial Risk Management, Second Edition.
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