4
$\begingroup$

Are you able to provide some suggestions for resources to get started with non-flat volatility modelling? The models I am interested in are the likes of CEV, Heston, SABR etc.

I have tried looking into Gatheral's The volatility surface. A practitioner's guide but it is a little too heavy so looking for something ideally more approachable.

I am looking for "first course in local and stochastic volatility modelling" really to get me started in this space. Thanks in advance for recommendations!

$\endgroup$

2 Answers 2

7
$\begingroup$

If you are looking for a short introduction into various concepts used in volatility modeling without too much mathematical derivations (although written by a mathematician), I would recommend 'Smile pricing explained' by Peter Austing, Palgrave Macmillan (2014). It's a good first book to read and helpful in the future when you read more advanced books (like Gatheral).

$\endgroup$
6
$\begingroup$

You may find A Short Note on Volatility Models an interesting summary providing bird's-eye overview of general ideas in volatility modeling.

I would highly recommend SABR and SABR LIBOR Market Models in Practice as a great reference to SABR and SABR LMM accessible without prior knowledge of these models.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.