Smile Pricing Explained (Financial Engineering Explained)
| Author | : | |
| Rating | : | 4.69 (557 Votes) |
| Asin | : | B00O2AC5A2 |
| Format Type | : | |
| Number of Pages | : | 552 Pages |
| Publish Date | : | 2017-04-07 |
| Language | : | English |
DESCRIPTION:
The key models used in practice are covered, together with numerical techniques and calibration.. Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing
'This appealing little book is skillfully written by Dr. I found the chapter on local stochastic volatility and the final chapter on the multivariate setting particularly appealing. Models described in detail include both local and stochastic volatility, the synthesis of the two, and the author's own ground-breaking work on multi-asset skew pricing. Peter Austing, a well-known authority on options pricing. 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. The reader of this book will have a good understanding of these concepts in the continuous-time continuous sample-path setting that is widely used in practice'. It brings
Daniel said 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 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.. 0$ on this.. Ordinary guy said 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, but I had to put down this book after the first few pages. The font size is similar to that of the small font of the "pocket r. 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.
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 Quantitative Analytics. . He is currently engaged in research at Imperial College, London. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style.A seasoned quantitative practitioner, and regu