Value of Uncertainty, The: Dealing with Risk in the Equity Derivatives Market

George Kaye is an independent financial consultant with over a decade of experience as a quantitative analyst ('quant') in the investment banking industry. Starting at Credit Suisse First Boston's Product Development Group in 1999, George quickly specialised in the field of equity derivatives, building models and infrastructure for the trading desks. In 2006, he left to join the Derivative Analysis Group of Goldman Sachs, where his responsibilities focused on building a methodology for model risk analysis of the firm's equity derivatives positions. In 2010 he returned to the front office, working in the equity derivatives section of the Quantitative Analysis Group of UBS Investment Bank, leaving at the end of 2011 to build his own derivatives software company.

Introduction; Preliminaries; Dividends; Volatility; Default; Jumps; Rates; Correlation; Control.

In his timely book, George Kaye, a Cambridge-trained physicist with over a dozen years of experience as a quantitative analyst at leading investment banks in the City of London, covers a wide variety of topics in the context of equity option pricing and risk management. He presents a broad and thorough survey of the relevant mathematical methods -- Alexander Lipton "Bank of America Merrill Lynch and Imperial College London"