Volatility derivatives are a class of derivative securities where the payoff explicitly depends
on some measure of the volatility of an underlying asset. Prominent examples of these …

Praise for The Volatility Surface" I'm thrilled by the appearance of Jim Gatheral's new book
The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We show that the information in European option prices reveals, robustly and
nonparametrically, the no-arbitrage prices of general volatility derivatives–contracts on the …

We develop analytical methodology for pricing and hedging options on the realized variance
under the Heston stochastic variance model (1993) augmented with jumps in asset returns …

In this paper we study the pricing and hedging of options on realized variance in the 3/2 non-
affine stochastic volatility model by developing efficient transform-based pricing methods …

Let St denote the value of a stock or stock index at time t. Given a variance/volatility option to
be priced and hedged, let us designate as time 0 the start of its averaging period, and time T …

Under the assumption that two financial assets evolve by correlated finite activity jumps
superimposed on correlated Brownian motion, the value of a contingent claim written on …

Outside the Platonic world of financial models, assuming the underlying distribution is a
scalable “power law,” we are unable to find a consequential difference between finite and …

We consider the pricing of options written on the quadratic variation of a given stock price
process. Using the Laplace transform approach, we determine semi‐explicit formulas in …