Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)

It came in three days to Canada. Surprised! Canadapost takes a week to bring a parcel in the same city and charges more than double of what Amazon charged. The book arrived in perfect brand new condition and there was a big discount on the purchase price of the book. The book offers a comprehensive analysis of the local volatility and local-stochastic volatility models.

This book is bound to become a reference on the subject. It is self-contained, reads easily, and is focused on results. It discusses a vast range of topics and it includes material hardly found in other publications that is key to volatility trading. Specifically you will find the state of art in volatility smile,and option hedging; many relevant examples on volatility surfaces, VIX indices and options, and the models beyond Black-Scholes that are currently used in the industry.

Great reference! The focus on practical problems in hedging and pricing, and the constant reference to the P&L accounting equation in every chapter make this book highly relevant for equity drivatives quants and partially to traders. The content is absolutely 5/5 However, some choices regarding notation make it kind of painful to follow many of the derivations. The most important flaw is the choice of not distinguishing between total and partial derivatives for pricing functions, which forces you each time to track the derivations of each PDE to understand the functional dependencies on parameters.

An excellent book to better understand both local and stochastic volatility models with relevant case studies. Strengths and weaknesses of the local volatility model are described in detail using concrete examples Each chapter ends with a synthetic overview which helps the reader to remind all the key points of the book. Anybody working in derivatives will benefit from reading and re-reading this book!

I love reading this book. It is packed with insights and shared in such an authentic way that makes it feel like you are talking & learning from a legend quant. A must-have for any curious quant who is doing what they do not because of money but passion to crack problems

Excellent book. A reference for equity quants.

Clear writing on a difficult subject to explain

Delicious read! An absolute must for any exotic and even vanilla options trading desk. Complex models are made available and explained very clearly. The aim is very much applied towards efficient actual trading or hedging. Scrumptious!

This book contains an exceptional wealth of information: the author not only formalises what I've been learning the hard way through years of laborious practice, but also generously shares new, unique and stimulating material presented in a rigorous but didactic manner. It is therefore an indispensable book for any equity exotics practitioner and it is bound to become the reference in the Equity Derivatives field.

You don't need a bazooka to kill a spider. This book is messy, often takes the longest possible route, is not rigorous and bizarrely is not up to date with methods used in stochastic finance. The author reads like an idiot savant: he uses Ito calculus like an accountant. It does no justification to stochastic volatility and is a poor attempt. It portrays itself as being practical, but is actually not.