The Volatility Surface: A Practitioner's Guide

Jim Gatheral · 2006 · Wiley

AdvancedIntradayLFTBook

Stochastic and local volatility, the SVI parameterization, and how practitioners actually fit and trade the surface.

Find the book ↗

At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: Intraday, LFT
Data needed: L1 quotes Set what data you have
Themes: Options & volatility
Assets: Options
Market: Global

Your notes

Report a problem with this entry

Step 6 of 9 in

Options and volatility for index-options traders

← Variance Risk PremiumsArbitrage-free SVI volatility surfaces →

Cite

@book{gatheral2006volatility,
  author = {Gatheral, Jim},
  title = {{The Volatility Surface: A Practitioner's Guide}},
  publisher = {Wiley},
  year = {2006},
  doi = {10.1002/9781119202073}
}

Gatheral, J. (2006). The Volatility Surface: A Practitioner's Guide. Wiley. https://doi.org/10.1002/9781119202073