Volatility Master Class for Quants

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9780470053171: Volatility Master Class for Quants
Présentation de l'éditeur :

A look into the world of volatility from the man who laid the foundations of the field

Volatility presents a fascinating insight into a key area of modern finance, authored by one of its original pioneers. Building on twenty years of extensive practice and theory, the book presents models and ideas from financial engineering for those who trade themselves or create models for traders.

Author Bruno Dupire′s concise examination of key volatility topics offers readers the best in cutting–edge information and is designed to be fully accessible to anyone dealing with volatility, from quantitative analysts to traders, from risk managers to academics. Bridging cultural gaps, the book presents information from a practical perspective alongside the concepts needed to fully understand this fascinating topic.

  • Covers a broad range of topics, from the history of volatility to the latest advances in volatility derivatives, with a special focus on the models used by major institutions
  • Includes numerous original insights, ranging from volatility derivatives modeling to approximation methods
  • Written in a concise style that focuses on concepts as opposed to calculations, filled with historical comments and anecdotes
  • Author is listed in Risk magazine′s "Hall of Fame" as one of the 50 most influential people in the history of derivatives and risk management

While there are plenty of books that cover volatility, modeling, skew, and trading, Dupire′s position as a trusted name and volatility innovator in the world of finance makes this book the must–have text on the subject.

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