Читать книгу The Volatility Smile - Park Curry David - Страница 5

Academic books and papers on finance have become regrettably formal over the past 30 years, filled with postulates, theorems, and lemmas. This axiomatic approach is suitable for presenting pure mathematics, but, in our view, is inappropriate for the field of finance. In finance, ideas should come first; mathematics is simply the language that we use to express ideas and elaborate their consequences.

We feel that the best way to learn and teach financial theory is to walk a middle line between the traditionally math-inclined academic and the stereotypically math-skeptical trader. This book tries to present a treatment of the volatility smile that combines the insight that comes from models with the practicality of the trading desk.

The first two chapters of this book provide a close look at the theory of modeling and the principles of valuation, themes that we return to again and again throughout the book. Chapters 3 through 13 explore the Black-Scholes-Merton option pricing model. At the heart of this model is a clash with the actual behavior of markets, the contradiction of the volatility smile. We show how, despite this flaw, there are productive ways to use not only the model itself, but the principles underlying it. Finally, in Chapters 14 through 24, we explore more advanced option models consistent with the smile. These models can be grouped into three families: local volatility, stochastic volatility, and jump-diffusion. While these newer models address many of the shortcomings of the Black-Scholes-Merton model, they are themselves imperfect. As markets evolve and traders gain experience, old models inevitably fail and need modification, or are replaced by newer models. Our hope is that the principles in this book will provide readers with the ability to develop and use their own models.