VOLCOR

For some reason , I have never come across anyone in my friends circle/my faculty , who have mentioned this book.I have read a lot of books on option pricing , volatility , but none , NONE, so far is any where close to this beautiful book by Riccardo Rebonato.

It is so gripping(well gripping might sound far fetched for a book on options, but that’s what it is) right from the first page of the book.

I regret to have not read this book before. Better late than never. There are 4 parts in the book , first talks about black scholes world ,second talks about smiles, third talks about interest rate derivatives and final part is based on smiles relevant to Interest rate derivatives.

In the last 2 days , I have managed to go over the first part and it is nothing less than a brilliant exposition of various facets of option pricing. If ever , any one wants my suggestion on the book to read on options, immediately after books on Options101(Hull,Sheldon Ross, Neftci etc), then I would strongly recommend this book. Its a gem. If you intend to trade, I think this book is a must!. I am looking forward to understanding Vol Smiles from this book. I am certain that it will be as engaging as the first part of the book.