Unperturbed By Volatility: A Practitioner's Guide To Risk Paperback – 21 Jan. 2019
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Unperturbed By Volatility: A Practitioner's Guide To Risk Paperback – 21 Jan. 2019

4.9/5
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4.9

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T**S

interesting perspectives on risk in quantitative finance

As the subtitle suggests this is a guide for a (quantitative) finance practitioner's thinking about risk.Throughout the book the emphasis is not on the maths but the way one should think about risk e.g. volatility vs risk, risk being visible in the centre but hidden in the tails, convexity etc. and also on the importance of the particulars in assessing risk e.g. the importance of time-frames, the limitation of data, etc.The concepts are certainly not new to experienced quants, but the exposition is clear, with plenty of given examples and interesting historical references and context. The authors are guided by, and try to convey to the reader, an attitude towards risk: avoid prescribing universal solutions, always question what the main risks are, where they are hidden, and try to avoid them by construction whenever possible.The book strikes a good balance between theory and practice—neither too basic, nor too technical. I found that it explained some difficult concepts well (e.g. volatility of volatility), while often bringing a different perspective to the subject (e.g. the standard Black-Scholes replication). Not all chapters are equal, and not everyone will agree with their content, but there is something engaging and fresh in all of them.Overall the authors do not claim novelty—they present technical material guided by a non-stylized “skin-in-the-game” understanding of risk. I would definitely recommend it to quantitative practitioners early in their career, postgraduate mathematical finance students that want some exposure to practical considerations and sufficiently quantitatively-minded investors.

S**M

Very comprehensive and insightful

Possibly the most comprehensive practical guide on volatility in financial markets. The book strikes a good balance between explaining the theory and giving realistic guidelines on how to think about volatility. One can sense that the authors write from their experience, which is helpful in conveying some of the more challenging pitfalls investors can fall into when assessing risk. For the authors, volatility, or risk, is not one thing, but a market reality that can appear in different guises and forms. Worth reading just for this insight, but you'll learn the theory and technical concepts on the way too.

G**M

Comprehensive and insightful!

Very insightful book. I specifically enjoyed chapters 8 and 10. Would recommend this for practitioners and academics as this book bridges the gap between academia and practice. Well written. Technical enough but easy to understand.You can definitely see the approach the authors have taken reflects their experience as finance professionals but also their academic background.I also specifically liked chapter 11.

R**N

The Haynes manual of derivatives - excellent

An excellent body of work for the student , trader or interested reader alike. This text carries the mantle of Talebs dynamic hedging , and represents a useful , real world , easy to follow manual for vol dynamics - ideal for those seeking a reference manual for derivatives .

C**R

Great book for the quantitatively inclined practitioner.

Great book on risk and quantitative finance. Takes into account market properties and moves away from classical academic models to deliver real insight while being mathematically correct.Highly recommended.

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