Inside Volatility Filtering: Secrets of the Skew, 2nd Edition

Acknowledgments (First Edition)

This book is based on my PhD dissertation at Ecole des Mines de Paris. I would like to thank my advisor Alain Galli for his guidance and help. Many thanks to Margaret Armstrong and Delphine Lautier and the entire CERNA team for their support.

Special thanks to Yves Rouchaleau for helping make all this possible in the first place.

I would like to sincerely thank other committee members Marco Avellaneda, Lane Hughston, Piotr Karasinski, and Bernard Lapeyre for their comments and time.

I am grateful to Farshid Asl, Peter Carr, Raphael Douady, Robert Engle, Stephen Figlewski, Espen Haug, Ali Hirsa, Michael Johannes, Simon Julier, Alan Lewis, Dilip Madan, Vlad Piterbarg, David Wong, and the participants to ICBI 2003 and 2004 for all the interesting discussions and idea exchanges.

I am particularly indebted to Paul Wilmott for encouraging me to speak to Wiley and convert my dissertation into this book.

Finally, I'd like to thank my wife, Firoozeh, and my daughters, Neda and Ariana, for their patience and support.