Smile Pricing Explained (Financial Engineering Explained)
| Author | : | |
| Rating | : | 4.91 (568 Votes) |
| Asin | : | B00O2AC5A2 |
| Format Type | : | |
| Number of Pages | : | 343 Pages |
| Publish Date | : | 2016-01-24 |
| Language | : | English |
DESCRIPTION:
of Mathematics, Imperial College London, co-originator of the no-arbitrage mixture dynamics approach to smile modelling'A super book which describes the state of the art for skew option pricing, specifically in FX markets. 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. 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. It will be helpful to both seasoned and aspiring quants, as well as other financial practitioners an
purely awesome It's a very good book, clearly explained the option pricing from the very basic to very modern tools and model. I feel so lucky I have spent my 30$ on this.. The font is way to small to be read comfortably. I could not read the book. The one stars are just for the font/presentation. The font is way to small to be read comfortably. I could not read the book and I will return it. One star because the small font was a show stopper for me. What is the point of having a (supposedly) good book if it is not made easily accessible and readable? I was looking forward to reading this book, but I was very disappointed by the exceedingly small font! I don't wear glasses, I read a lot and I love reading. LEONARDO CABRAL said Must Have !!. This book is a must read for anyone working with derivatives, especially in FX. Peter's experience in models implementation combined with his great knowledge makes this book a great resource for both quants and traders. As a portfolio manager in a HF, I have already put Peter's work to use among the quants of the firm and look forward to his next publications.
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.
Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. He is currently engaged in research at Imperial College, London. . In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitat