Stochastic volatility modeling
Bergomi, Lorenzo
Stochastic volatility modeling Lorenzo Bergomi - Boca Raton : CRC Press, c2016. - xvi, 506 p. : ill. ; 25 cm. - Chapman & Hall/CRC financial mathematics series .
Includes bibliographical references and index.
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 Société Générale’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.
9781482244069
2015037873
Finance--Mathematical models
Securities--Mathematical models
Stochastic models
332.63/2220151922
Stochastic volatility modeling Lorenzo Bergomi - Boca Raton : CRC Press, c2016. - xvi, 506 p. : ill. ; 25 cm. - Chapman & Hall/CRC financial mathematics series .
Includes bibliographical references and index.
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 Société Générale’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.
9781482244069
2015037873
Finance--Mathematical models
Securities--Mathematical models
Stochastic models
332.63/2220151922