Smile Pricing Explained - Peter Austing

Smile Pricing Explained
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Autor: Peter Austing

 Wydawnictwo: Palgrave Macmillan
ISBN: 9781137335715
EAN:
Format: ...
Oprawa: miękka
Stron: 240
Data wydania: 2014-08-01
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In modern derivatives trading, Black-Scholes theory is only a starting point. Asset volatilities are not constant, but change with market conditions. Large price moves are associated with periods of market turbulence and this leads to a smile shaped curve of the volatility implied from market prices. Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration. Dr Austing guides the reader from the principle of no arbitrage and Black-Scholes, through local and stochastic volatility models, to arrive at a deep understanding of the state of the art of smile modelling. Along the way, practical introductions to the Monte Carlo and finite difference numerical approaches are provided, with user friendly guidance to the deep mathematics underlying the pricing theory. Smile Pricing Explained provides a much-needed guide to the concepts and complexities of smile modelling. Written in particularly accessible style, topics are presented succinctly, and unnecessary complexity is carefully avoided. Intuition is provided before mathematics so that readers may enjoy the book without necessarily following every technical detail. This book will prove a popular resource for both new and established quantitative practitioners as well as graduate students who wish to understand the realities of the area. 'This appealing little book is skillfully written by Dr. Peter Austing, a well-known authority on options pricing. It is easy to understand and covers a lot of ground on theory and practice of smile pricing. It will be helpful to both seasoned and aspiring quants, as well as other financial practitioners and academics.' - Alexander Lipton, MD, Quantitative Solutions Executive, Bank of America 'A gem of a book, 'Smile Pricing Explained' oozes with the enthusiasm that its author Dr Austing, a seasoned practitioner and expert on multi-asset smile modelling, has for the subject. The book takes us on a concise but very exciting journey from the carefully yet succinctly explained basics of arbitrage pricing to the cutting edge of correlation smile, a journey that is fuelled by generous measures of intuition and practical advice. There is no doubt that students and practicing quants alike will enjoy this book immensely and will learn a lot from it too.' - Vladimir Piterbarg, Managing Director and Head of Quantitative Analytics, Barclays 'Smile Pricing Explained takes the reader on a sophisticated journey starting with the elements of arbitrage pricing theory and ending right at the frontier of quant practice with impressively succinct explanations of local stochastic volatility and local correlation models. Students and experienced practitioners alike will find this concise but self-contained book both a pleasure to read and an invaluable reference.' - Jim Gatheral, Presidential Professor, Baruch College, CUNY and author of The Volatility Surface 'Finally a book that explains Ito's lemma in exact and yet tangibly applied terms. I was elated!' - Peter Jackel, Managing Director of OTC Analytics, Deputy Head of VTB Capital Quantitative Research, and author of Monte Carlo Methods in Finance 'This is a very interesting book on smile modelling written with passion by Dr Peter Austing, a researcher at Imperial College London with important industry experience on using models in practical contexts and day to day situations. It is rare finding authors with this combination of skills working as full time academics, and the book reflects this peculiar background. The approach in the book is not just using rigorous mathematics for smile modelling, but also letting the reader understand why this is important and how the models can then be implemented. I found the chapter on local stochastic volatility and the final chapter on the multivariate setting particularly appealing.

Książka "Smile Pricing Explained"
Peter Austing