The Volatility Smile

Reading List, Advanced. Why puts cost more than calls, from the people who named the smile. Read it before module 3.

Oct 31, 2026

∙ Paid

Cartoon: the mentor has drawn one smile-shaped curve on a blackboard and turns to a student who holds a red book, titled Derman, The Smile.

Emanuel Derman ran the quant group at Goldman Sachs when the smile first appeared after 1987, and this is the textbook he wrote about it with Michael Miller. It is a university book, with problems at the end of each chapter. You do not need the mathematics; the first page of every chapter says the idea in words, and that is where the value is for us.

Who it is for: The Volatility Smile by Emanuel Derman and Michael B. Miller, 2016. Level Advanced, A textbook. Read the first eight chapters and the last two.. Time to read About 30 hours, For the whole book. About 8 for the eight chapters we use.. Math: Calculus in places, The ideas are in words at the start of every chapter. The proofs follow; skip them.. Best for Understanding skew, You want to know why puts cost more than calls, from the people who named it..

👉 Buy the Hardcover │ Back to the Reading List │ The Elite Trader Program

Below the line, for Pro and Elite Trader members: the chapters we use, the five ideas I took from it, the chapters to skip, and the module it prepares. Elite Traders read the book, then work that module with me one-on-one, on their own positions.

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