This book illustrates the dynamic nature of the volatility of options and presents models for accurately calibrating volatility to accurately price, structure, trade, and hedge equity
derivatives. Gatheral examines why options are priced as they are and reviews long-used models. The book covers implied volatility models, jump diffusion, valuation equations,
default risk models, capital structure arbitrage, asymptotics and dynamics of the volatility skew, Cliquet contract examples, forward-skew dependent claims (barrier option valuation), and
quadratic variation-based payoffs and VIX futures contracts. Throughout specific examples are considered to make the theory useful to practitioners.
