Volatility Surface?

D

dominover

Could anyone recommend some good books, material, websites or videos on Volatility Surface. While I understand what it is, it's different configurations say different things about the options markets and that's what I'm trying to discover. A full coverage if possible. If I can gain a firm grasp of it I'll eventually build my own program for viewing vol surface via the many free graphics libraries available.

There is a book on the market called 'The Volatility Surface: A practitioners guide" but it looks a little too mathematical for what I want. Maybe not, has anyone read it?

Any suggestions would be well appreciated.

Thanks
 
You could do a lot worse than reading Gatheral's book. Unfortunately, to dabble with vol surfaces, and especially to understand "different configurations (that) say different things" as you put it, a little bit of mathematical sophistication is a necessity. If this one's too daunting, flip through Sinclair's book maybe, though it has some other stuff on it too.
 
nomoremondays said:
You could do a lot worse than reading Gatheral's book. Unfortunately, to dabble with vol surfaces, and especially to understand "different configurations (that) say different things" as you put it, a little bit of mathematical sophistication is a necessity. If this one's too daunting, flip through Sinclair's book maybe, though it has some other stuff on it too.
More...

I'm assuming from "Sinclair's" book you are referring to Volatility trading? I may go with Gatheral's book anyway but I wanted to see what else was out there.
 
You must log in or register to reply here.
Back
Top