{"product_id":"9781118959169","title":"The Volatility Smile","description":"\u003ch3\u003eWiley Finance\u003c\/h3\u003e\u003ch1\u003eThe Volatility Smile\u003c\/h1\u003e\u003ch3\u003eEmanuel Derman | Michael B. Miller | David Park\u003c\/h3\u003e\u003cdiv\u003e\u003cb\u003eBusiness \u0026amp; Economics \/ Investments \u0026amp; Securities \/ Analysis \u0026amp; Trading Strategies\u003c\/b\u003e\u003c\/div\u003e\u003cbr\u003e\u003cdiv\u003e\n\u003cp\u003e\u003cb\u003eThe Volatility Smile\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets.\u003c\/p\u003e \u003cp\u003e\u003ci\u003eThe Volatility Smile\u003c\/i\u003e presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models.\u003c\/p\u003e \u003cp\u003eTopics covered include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eThe principles of valuation\u003c\/li\u003e \u003cli\u003eStatic and dynamic replication\u003c\/li\u003e \u003cli\u003eThe Black-Scholes-Merton model\u003c\/li\u003e \u003cli\u003eHedging strategies\u003c\/li\u003e \u003cli\u003eTransaction costs\u003c\/li\u003e \u003cli\u003eThe behavior of the volatility smile\u003c\/li\u003e \u003cli\u003eImplied distributions\u003c\/li\u003e \u003cli\u003eLocal volatility models\u003c\/li\u003e \u003cli\u003eStochastic volatility models\u003c\/li\u003e \u003cli\u003eJump-diffusion models\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.\u003c\/p\u003e\n\u003c\/div\u003e\u003cdiv\u003e  \u003cp\u003e\u003cb\u003eEMANUEL DERMAN\u003c\/b\u003e is a professor at Columbia University, where he directs its financial engineering program. He is the author of \u003ci\u003eMy Life as a Quant\u003c\/i\u003e and \u003ci\u003eModels. Behaving.Badly\u003c\/i\u003e. \u003c\/p\u003e\n\u003cp\u003e\u003cb\u003eMICHAEL B. MILLER\u003c\/b\u003e is the founder and CEO of Northstar Risk Corp. He is the author of \u003ci\u003eMathematics and Statistics for Financial Risk Management, Second Edition\u003c\/i\u003e. \u003c\/p\u003e\n\u003c\/div\u003e\u003cbr\u003e\u003ctable\u003e\n\u003ctr\u003e\n\u003ctd\u003ePublication Date: \u003c\/td\u003e\n\u003ctd\u003e06 September 2016\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003ePublisher: \u003c\/td\u003e\n\u003ctd\u003eWiley\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eImprint: \u003c\/td\u003e\n\u003ctd\u003eWiley\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eISBN-13: \u003c\/td\u003e\n\u003ctd\u003e9781118959169\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eFormat: \u003c\/td\u003e\n\u003ctd\u003eHardback\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003ePage Count: \u003c\/td\u003e\n\u003ctd\u003e528\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eWeight (oz): \u003c\/td\u003e\n\u003ctd\u003e25.6\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003c\/table\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":44311039279244,"sku":"9781118959169","price":81.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9781118959169_99bfd13a-55fb-4a10-8030-b7e73f8e810e.jpg?v=1780206849","url":"https:\/\/lateknightbooks.com\/products\/9781118959169","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}