WILEY The Volatility Surface: A Practitioner′s Guide

Pretty fast delivery. product as described.

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.

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.