#67209
Mentioned in 1 episodes
The volatility smile
Book • 2016
The Volatility Smile provides an accessible yet technical treatment of the volatility smile observed in option markets, aimed at students and practitioners.
Derman explains the empirical features of implied volatility surfaces and discusses models that attempt to capture them.
The book bridges theory and practice, offering computational techniques and intuitive explanations for modeling volatility.
It emphasizes practical considerations for calibration and implementation in trading environments.
The work serves as a concise reference for understanding and managing volatility-related risks in options markets.
Derman explains the empirical features of implied volatility surfaces and discusses models that attempt to capture them.
The book bridges theory and practice, offering computational techniques and intuitive explanations for modeling volatility.
It emphasizes practical considerations for calibration and implementation in trading environments.
The work serves as a concise reference for understanding and managing volatility-related risks in options markets.
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Mentioned in 1 episodes
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Greg LaBlanc
Emanuel Derman
631. A Physicist’s View on the Inherent Risks of Financial Modeling with Emanuel Derman
