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[FREE] The Volatility Smile download book

Emanuel Derman,Michael B. Miller,David Park,: The Volatility Smile

The Volatility Smile


Description

The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: * The principles of valuation * Static and dynamic replication * The Black-Scholes-Merton model * Hedging strategies * Transaction costs * The behavior of the volatility smile * Implied distributions * Local volatility models * Stochastic volatility models * Jump-diffusion models The first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.

In "La Folie Baudelaire," Roberto Calasso--one of the most original and acclaimed writers on literature, art, culture, and mythology--turns his attention to the poets and writers of Paris in the nineteenth century who created what was later called "the Modern." His protagonist is Charles Baudelaire: poet of "nerves," art love, pioneering critic, man about Paris. Calasso ranges through Baudelaire's life The Volatility Smile free pdf and work, focusing on two painters--Ingres and Delacroix--about whom Baudelaire wrote acutely, and then turns to Degas and Manet, who followed in the tracks Baudelaire laid down in his great essay "The Painter of Modern Life." In Calasso's lavishly illustrated mosaic of stories, insights, close readings of poems, and commentaries on paintings, Baudelaire's Paris comes brilliantly to life. In the eighteenth century, a "Folie" was a garden pavilion set aside for people of leisure, a place of delight and fantasy. Following Baudelaire, Calasso has created a brilliant and dramatic "Folie Baudelaire"--a place where the reader can encounter the poet himself, his peers, his city, and his extraordinary likes and dislikes, finally discovering that that places is situated in the middle of the land of "absolute literature."


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Author: Emanuel Derman,Michael B. Miller,David Park,
Number of Pages: 528 pages
Published Date: 21 Oct 2016
Publisher: John Wiley & Sons Inc
Publication Country: New York, United States
Language: English
ISBN: 9781118959169
Download Link: Click Here
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