Smile Pricing Explained

Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.

Author: P. Austing
Publisher: Palgrave MacMillan
Published: 08/29/2014
Pages: 221
Binding Type: Paperback
Weight: 0.85lbs
Size: 9.10h x 6.00w x 0.70d
ISBN: 9781137335715

About the Author
In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitative Analytics.

Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style.

A seasoned quantitative practitioner, and regular conference speaker, Peter Austing is best known for his work on multi-asset derivative pricing with correlation smile. He is currently engaged in research at Imperial College, London.