November 13th, 2015, 3:05 pm
frolloos, Artur, Daniel, AnalyticalVega,thanks for all the comments. Re "no value for trading", I think that's a little harsh although I agree that quants/math finance types will be much more interested than most traders.A good guide is: if you liked my (year 2000) stochastic volatility book, you'll probably like this new one and correspondingly if you didn't.Personally, I like to trade the VIX-related derivatives and ETF's and found the historical studies I did for the new book helpful there (thoseare Appendixes in Ch. 4). Some of the statistical inference material (Hidden Markov models) might be useful in that regard, as well as thejoint SPX/VIX modeling. ===========================================================================================p.s. Daniel, if you're asking about dif. geometry background references, I found helpful Struik ("Lectures on Classical Differential Geometry"), Schutz ("A first course on general relativity"), and some online notes by Markus Deserno ("Notes on differential geometry")
Last edited by
Alan on November 12th, 2015, 11:00 pm, edited 1 time in total.