Jim Gatheral's book offers an expertly presented practitioner's perspective on modeling implied option volatility in the context of equity derivatives. The author, a leading expert and practitioner in the area, introduces the reader to the industry standard models (Heston, SVI, SABR), and shows how to make the complex math of these models work on trading desks.

The book dispenses with the technical niceties that go with advanced theory of stochastic processes, and instead focuses on the meat of the problem. That allows the author to tell the story on 180 pages, each of which is packed with information and insight.

Pretty fast delivery. product as described.

This book of only about 160 pages packs a lot of punch. If you need to get to know anything about the volatility surface, this book will be of use. There are no elaborate derivations of formulae but everything needed is given. As a quant with many years of experience, Gatheral helped me in understanding the nitty gritty and nuances of volatility surfaces much better than before. He covers mostly everything from implied vol to local vol surfaces. It was very useful in my endeavours with variance swaps and generating volatility surfaces from traded data.

I am taking Prof. Gatheral's class. He is the best instructor I have ever studied with. Without any doubt, he is very professional in volatility modeling. This book is very concise with many practitioner's views which you might not see in the academia. He also keeps updating his lecture notes with cutting-edge research so I hope someday he would publish a second edition.

F.C, New York

Text is classic and I would do a disservice to review it. There are no exercises which I found a bit disappointing.

The book arrived in excellent condition and had no damage.

Superb. Great teaching of a non-trivial subject.

The Volatility Surface is an-ultra modern account of derivatives pricing and hedging. Indeed of the fifty-two bibliographical references a mere twenty were written before 1999. The book makes the case for option pricing models which incorporate randomness into stock price volatility (stochastic volatility) and jumps into stock price movements. By themselves these are not new models, but a coherent understanding of their relationship to the dynamics of the volatility surface and to derivatives valuation is new, and Gatheral does an admirable job of presenting a great deal of the most modern work in this area - including some of his own - in one place.

The topic is necessarily mathematical in nature and Gatheral spares the reader nothing of the full-on mathematical treatment; but he nevertheless manages to distill the essence of the most important mathematics into easily accessible, intuitive explanations that supplement the readers understanding. Thus this book should have broad appeal to practitioners of all levels, especially traders and those familiar with the basics of derivatives valuation. Gatheral succeeds in this vein so well, I believe, because he is a first-rate quant and a a long-time senior quant at Merril Lynch.

The book gives an excellent treatment of the relationship between stock price dynamics which actually explain option prices observed in the market and the necessity of studying the volatility surface to have a complete understanding of derivatives valuation. He does a great job of justifying the key models he reviews and then studies the implications for derivatives valuation.

As an expert practitioner, his choices reflect what is really out there in the market, so readers should pay attention. As a first rate quant, his mathematics and his grasp of the literature on option pricing will expose readers to the best of the best.

Of particular note is his last chapter on volatility instruments, in particular variance swaps, volatility swaps and options on volatility. This is an important market that was just getting started in the late 1990s but has burgeoned into one of the most active and important markets in equity derivatives. This chapter is a must for anyone interested in understanding the subtelties involved in understanding variance swap and volatility swap valuation, and is alone worth the cover price.

This book contains a lot of errors. Even after reviewing errata, I have still found errors in taking differentials which made me loose a lot of time trying to figure out the correct formulation. I literally had to drive the formula on myself. I checked with the original papers sometimes. I wish writers pay more attention to what they write when they publish a book.

I dont think a 3-star rating is fair for this book, however from my junior quant perspective, it was just very hard to read. The book contains a highly technical set of formulas after formulas. It is a challenge following what’s going on and the intuition behind the models. You also must possess superb calculus skill to fully appreciate those derivations.

In general, perhaps a different class of practioners or PhD in math would find more values in this book. I was just curious about volality surface/smile so I bought the book but my knowledge was certainly not sufficient to grab the ideas.

The book is also a bit dry with a lack of visualisation.

Try it, your level might be way above mine so there might be some good values.

Too much math and difficult turn it in investing advice

This is a practical book on the volatility surface. It starts with local volatility derivation (with some typos/small errors), expands on heston and then heston with jumps. It presents the author's SVI parameterization, a now relatively popular way to parameterize the implied vol surface.

The last chapters about various volatility derivatives present well why a good vol modeling is important, even if in the case of vol swaps, I would have liked more models (it just presents heston and some extremely simple lognormal approximation (a curiosity really)).

This is a magnificient book on the volatility surface, which contains material not covered by other books such as the volatility smile. It goes right in the heart of the matter.

I just cut the page with NN Taleb's foreword, which needlessly encumbers this otherwise great volume.

This is an overview of stochastic volatility models keeping a good valance between mathematical rigorousness and simplicity. Though examples in the book are equity derivatives, it will be useful for practitioners in other asset classes.