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 ...
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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 Soci???t??? G???n???rale'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.
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Add this copy of Stochastic Volatility Modeling (Chapman and Hall/Crc to cart. $108.54, very good condition, Sold by BooksRun rated 4.0 out of 5 stars, ships from Philadelphia, PA, UNITED STATES, published 2016 by Routledge.
Add this copy of Stochastic Volatility Modeling to cart. $112.73, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2016 by Chapman & Hall/CRC.
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New. Contains: Illustrations, black & white, Tables, black & white. Chapman and Hall/CRC Financial Mathematics Series . Includes: illustrations, black & white, tables, black & white.
