Volatility and Correlation: The Perfect Hedger and the Fox
| Author | : | |
| Rating | : | 4.51 (960 Votes) |
| Asin | : | 0470091398 |
| Format Type | : | paperback |
| Number of Pages | : | 864 Pages |
| Publish Date | : | 2013-10-29 |
| Language | : | English |
DESCRIPTION:
Love this book PC I have read this text from cover to cover twice. It is much easier to understand its organization the second time around. The reviewer who complained that it feels disjointed perhaps simply didn't connect with the key messages running through the book. Having assumed (incorrectly) that the intro chapters were a bunch of fluff typical of these texts, I glossed over the intro the first time around. You'll benefit greatly if you scan the book, then go re-read the intro. It's all the. "I would give 5 stars for the first half and about 2 for the back half." according to Owen Davey. I read this book over a couple months during my train commute over a year ago when someone lent it to me. I thought the first half was fanstastic as it helped me with some trading insights over and above what I got from typical "quanty" books. It was a great read also for reminding me of some of the material I had studied several years before, but was not using while on a fundamentally driven prop desk focused mostly on cash instead of derivs.I was disappointed when I got to the . "A must-have for some" according to Franz Woyzeck. If you are really into exotics, then this book will provide a lot. It is the most extensive book that I know and it is written by a trader for traders. It has some serious weaknesses though: its structure is somewhat chaotic and it seems as if the chapters have just been pasted together from different sources. On top of that, it is somewhat lengthy.If you want to trade exotics, you have to read it anyway
Read it carefully and thoroughly." --Paul Wilmott, Derivatives"Volatility and correlation are at the very core of all option pricing and hedging. I don't agree with everything in it, but it taught me a thing or two. This book is full of practical insights that reflect a wealth of experience in applying these models. The book is a 'must read' for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed." --Profe
. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He is a regular speaker at conferences worldwide. He is also a Visiting Lecturer at Oxford University for the Mathematical Finance Diploma and MSc. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He has published several papers on finance in academic journals, and is on the editorial board of several journals. He is the author of three books,
Part II looks at smiles in equity and FX worlds. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility &