دانلود کتاب The Volatility Surface: A Practitioner's Guide (Wiley Finance)

A good book for its wide view of all the topics linked to the volatility trading : stochastic volatility and jumps with a quite rare study of the impact of stochastic vol over the pricing of most commons exotic products like cliquets, lookback etc… The main problem of this book are :1/ the incredible numbers of errors and typos in the proofs (typos for the two first chapters has been published by the author on the website of the Imperial College where Mr Gatheral has given lessons) 2/ the fact it’s not so useful as the link between dividends and vol stochastic isn’t treated at all.3/ Most of the interesting theoretical exposee are clearly uncomplete and needs further investigation. But as the author try to do a wide tour of the subject in a rather limited number of pages, this is not surprising.4/ This isn’t explicit but this is of a weaker interest for stochastic volatility of underlyings other than Equities, index and funds…So finally, it’s a good tour on the subject but for a lot of subjects it look likes a summary. Others books are needed. mainly the Alan Lewis book for Fourier transform’s methods of pricing, the Cont/tankov on the Jumps process (see my review of this one) and the Alireza Javaheri’s one for a more deeper work on THE calibration problem of stochastic volatility.