Derman, Miller, Park:

The Volatility Smile

Instructor Companion Site

Table Of Contents

Chapter 1: Overview

Chapter 2: The Principle of Replication

Chapter 3: Static and Dynamic Replication

Chapter 4: Variance Swaps: A Lesson in Replication

Chapter 5: The P&L of Hedged Option Strategies in a Black-Scholes-Merton World

Chapter 6: The Effect of Discrete Hedging on P&L

Chapter 7: The Effect of Transaction Costs on P&L

Chapter 8: The Smile: Stylized Facts and Their Interpretation

Chapter 9: No-Arbitrage Bounds on the Smile

Chapter 10: A Survey of Smile Models

Chapter 11: Implied Distributions and Static Replication

Chapter 12: Weak Static Replication

Chapter 13: The Binomial Model and Its Extensions

Chapter 14: Local Volatility Models

Chapter 15: Consequences of Local Volatility Models

Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values

Chapter 17: Some Final Remarks on Local Volatility Models

Chapter 18: Patterns of Volatility Change

Chapter 19: Introducing Stochastic Volatility Models

Chapter 20: Approximate Solutions to Some Stochastic Volatility Models

Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation

Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation

Chapter 23: Jump-Diffusion Models of the Smile: Introduction

Chapter 24: The Full Jump-Diffusion Model

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