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Volatility surface

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hervehens
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Joined: July 2nd, 2009, 9:14 am

Volatility surface

September 21st, 2010, 8:52 am

Hi,What book would you recommend to learn about local volatility surface?Thanks
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Antonio
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Volatility surface

September 21st, 2010, 9:05 am

Jim Gatheral's "The volatility surface"
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akki
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Joined: September 10th, 2008, 3:05 am

Volatility surface

October 6th, 2010, 2:14 am

I would suggest Hedger and the Fox too.
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semanticum
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Joined: March 28th, 2007, 8:01 am

Volatility surface

October 6th, 2010, 9:54 am

I suggest this paper by Derman/Kani/Zou: The Local Volatility SurfaceGoldmann Sachs Quantitative Strategies Research NotesDecember 1995.
Last edited by semanticum on October 5th, 2010, 10:00 pm, edited 1 time in total.
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JoyPathak
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Joined: September 30th, 2010, 5:55 pm

Volatility surface

October 19th, 2010, 1:51 am

I would say Jim Gatheral's Volatility Surface too.
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endian675
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Joined: March 11th, 2008, 7:09 pm

Volatility surface

October 19th, 2010, 7:36 am

Read the Derman paper and "My Life as a Quant", Derman's autobiography, which has some useful introductory material on vol surfaces.
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