I finally read Gatheral's book, The Volatility Surface, and I would recommend it to professionals who deal with complex/esoteric options structures. He derives, explains, and sets-in-context some pretty arcane stuff, with lots and lots of equations "showing the work". It's not for newbies or folks put off by the math.

The book's bright tone, no doubt due to his excellent editor, isn't marred by the Expert's oleaginous preface.

David Wren-Hardin adds:

I agree with George's review, but I wouldn't say that the book is only for people dealing with complex/esoteric options. It describes the state-of-the-art for how equity/index options are being described now by most groups. If you trade more than simple strategies such as buy-writes or spreads where you have only one or two position per product, the ideas are something you need to know.

Reading rigorous books and papers is a great way to find my mathematical blind spots, although I also have the luxury of being able to wander over to our quants and ask, "What the heck does this mean?!"


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