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Contents
Preface xxi
0.1 Why a Second Edition? xxi
0.2 What This Book Is Not About xxiii
0.3 Structure of the Book xxiv
0.4 The New Subtitle xxiv
Acknowledgements xxvii
I Foundations 1
1 Theory and Practice of Option Modelling 3
1.1 The Role of Models in Derivatives Pricing 3
1.1.1 What Are Models For? 3
1.1.2 The Fundamental Approach 5
1.1.3 The Instrumental Approach 7
1.1.4 A Conundrum (or, ‘What is Vega Hedging For?’) 8
1.2 The Efficient Market Hypothesis and Why It Matters for Option Pricing 9
1.2.1 The Three Forms of the EMH 9
1.2.2 Pseudo-Arbitrageurs in Crisis 10
1.2.3 Model Risk for Traders and Risk Managers 11
1.2.4 The Parable of the Two Volatility Traders 12
1.3 Market Practice 14
1.3.1 Different Users of Derivatives Models 14
1.3.2 In-Model and Out-of-Model Hedging 15
1.4 The Calibration Debate 17
1.4.1 Historical vs Implied Calibration 18
1.4.2 The Logical Underpinning of the Implied Approach 19
1.4.3 Are Derivatives Markets Informationally Efficient? 21
1.4.4 Back to Calibration 26
1.4.5 A Practical Recommendation 27
vii
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