Anonymous shelf assessment
Exploring the Volatility Smile
Shelf score 8.0 / 10
On The Volatility Smile · Emanuel Derman · Michael B. Miller · John Wiley & Sons
Published 23 March 2026
This work discusses the limitations of the Black-Scholes model in the context of derivatives trading.
Overview
The Volatility Smile, authored by Emanuel Derman and Michael B. Miller, delves into the shortcomings of the Black-Scholes model, particularly in its inability to accurately account for market behaviours such as the volatility smile. The book offers practical alternatives to standard models, making it a valuable resource for practitioners in the field of quantitative finance.
Focusing on the intricacies of derivatives and options trading, the text is tailored for traders and quantitative analysts seeking to deepen their understanding of market dynamics. It provides insights into model limitations and presents practical solutions that can be applied in real-world trading scenarios.
While the book is rich in technical content, it is best suited for readers with a solid background in finance and mathematics, as the discussions may be too complex for novices. The authors aim to equip professionals with the tools needed to navigate the challenges posed by traditional models.
By area & interest
Understanding the Volatility Smile
The book explains the concept of the volatility smile, a phenomenon where implied volatility varies with different strike prices and expiration dates, challenging the assumptions of the Black-Scholes model.
Practical Alternatives
Derman and Miller propose practical alternatives to the Black-Scholes model, offering insights that can enhance trading strategies and risk management.
Target Audience
This text is specifically designed for options traders and derivatives quants, providing them with the necessary tools to address the limitations of existing models.
Basis of this assessment
Assessment based on catalogue description and Google Books metadata.
Strengths
The book effectively highlights the limitations of the Black-Scholes model and offers practical alternatives, making it a useful resource for practitioners in quantitative finance.
Limitations
The technical depth may pose challenges for readers without a strong foundation in finance and mathematics.
Ideal reader
Ideal readers include options traders and quantitative analysts who are looking to enhance their understanding of market behaviours and model limitations.