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Cuchulainn
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Re: Volatility books 2016

September 10th, 2016, 12:38 pm

"The Volatility Smile" by Emanuel Derman is now available:

The Volatility Smile
In Europe only Kindle edition is available for now (from Amazon), Hardcover to be released on October 5th. Not sure why there is a lag, something to do with Amazon's recent 30hr working week experiment?
Like in Europe? I heard that 0.6% of the working population here works more than 40 hours per week.
Step over the gap, not into it. Watch the space between platform and train.
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frolloos
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Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Volatility books 2016

September 10th, 2016, 12:48 pm

"The Volatility Smile" by Emanuel Derman is now available:

The Volatility Smile
In Europe only Kindle edition is available for now (from Amazon), Hardcover to be released on October 5th. Not sure why there is a lag, something to do with Amazon's recent 30hr working week experiment?
Like in Europe? I heard that 0.6% of the working population here works more than 40 hours per week.
And that's including the daily 1hr lunch breaks.
 
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frolloos
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Posts: 1621
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Volatility books 2016

October 12th, 2016, 3:15 pm

"The Volatility Smile" by Emanuel Derman is now available:

The Volatility Smile
Not planning to do a book review here, but purchased this book and a bit disappointed to be honest. Derman is clearly a very respectable quant with major contributions on his name, but the book itself contains few, if any, new results. Also, some chapters such as the one on arbitrage bounds on the smile are very thin. From that perspective the books by Alan Lewis, Bergomi and Gatheral are still the most interesting. That said, Derman's book is fine to get a practical feel for volatility and fills the gap between the basic books and the more advanced texts.
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