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Stochastic Volatility Modeling (Electronic book text)
Stochastic Volatility Modeling (Electronic book text): Lorenzo Bergomi

Stochastic Volatility Modeling (Electronic book text)

Lorenzo Bergomi

Series: Chapman and Hall/CRC Financial Mathematics Series

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Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including: Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does calibration make sense? This manual covers the practicalities of modeling local volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility. In the course of this exploration, the author, Risk's 2009 Quant of the Year and a leading contributor to volatility modeling, draws on his experience as head quant in Societe Generale's equity derivatives division. Clear and straightforward, the book takes readers through various modeling challenges, all originating in actual trading/hedging issues, with a focus on the practical consequences of modeling choices.

General

Imprint: Chapman & Hall/CRC
Country of origin: United States
Series: Chapman and Hall/CRC Financial Mathematics Series
First published: 2016
Authors: Lorenzo Bergomi
Format: Electronic book text
Pages: 506
ISBN-13: 978-1-4822-6246-9
Categories: Books > Business & Economics > Economics > Econometrics > Economic statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > General
Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General
Books > Money & Finance > Investment & securities > General
LSN: 1-4822-6246-0
Barcode: 9781482262469

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