TY  - BOOK
AU  - Derman,Emanuel
AU  - Miller,Michael B.
TI  - The volatility smile
T2  - The Wiley finance series
SN  - 9781118959169 (hardback)
AV  - HG106 .D48 2016
U1  - 332.63228301 23
PY  - 2016///]
CY  - Hoboken, New Jersey
PB  - Wiley
KW  - Finance
KW  - Mathematical models
KW  - Securities
KW  - Valuation
KW  - BUSINESS & ECONOMICS / Finance
KW  - bisacsh
N1  - Includes index
N2  - "The Volatility Smile: An Introduction for Students and Practitioners  The Black-Scholes-Merton options 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.  The Volatility Smile 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.  Topics covered include:   The principles of valuation  Static and dynamic replication  The Black-Scholes-Merton model  Hedging strategies  Transaction costs  The behavior of the volatility smile  Implied distributions  Local volatility models  Stochastic volatility models  Jump-diffusion models"--; "The Volatility Smile 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"--
ER  -