Comment by kqr
1 month ago
Author here. Thanks for the well-reasoned and well-sourced criticism! I'm just a layman. I admit to all misunderstandings and am happy to receive links and words to search for to learn more.
1 month ago
Author here. Thanks for the well-reasoned and well-sourced criticism! I'm just a layman. I admit to all misunderstandings and am happy to receive links and words to search for to learn more.
It’s a cool blog post so I’m making those observations from what I hope you will see as a helpful place. It’s been a long time since I was in the industry, and the sources you’re looking at (eg Shreve) are all great. One thing you might want to check out as well is “The Volatility Surface: A Practitioner’s Guide” by Jim Gatherall. I remember really enjoying it back when I worked in Equity Exotics and it was very highly regarded by the people I really respected in the financial maths stakes.
For sure. I mean it when I say I appreciate the criticism!
Thanks for the book recommendation. It looks like it might clear up several things I found confusing in the process of writing the blog post, but never managed to figure out.