Stochastic volatility modeling (Record no. 29793)

MARC details
LIBRARY OF CONGRESS CONTROL NUMBER
LC control number 2015037873
ISBN
International Standard Book Number 9781482244069
DEWEY DECIMAL CLASSIFICATION NUMBER
Call number 332.63/2220151922
MAIN ENTRY--PERSONAL AUTHOR
Authors Bergomi, Lorenzo
TITLE STATEMENT
Title Stochastic volatility modeling
Statement of responsibility, etc. Lorenzo Bergomi
PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication Boca Raton :
Publisher CRC Press,
Date c2016.
PHYSICAL DESCRIPTION
Extent xvi, 506 p. :
Other Details ill. ;
Size 25 cm.
SERIES STATEMENT
Series statement Chapman & Hall/CRC financial mathematics series
BIBLIOGRAPHY, ETC. NOTE
Note Includes bibliographical references and index.
SUMMARY
Summary 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.
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading Finance
General Mathematical models
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading Securities
General Mathematical models
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading Stochastic models
ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://uowd.box.com/s/erf8ef475rmvuebm5wn6m7gtbp6wws1g">https://uowd.box.com/s/erf8ef475rmvuebm5wn6m7gtbp6wws1g</a>
Public note Location Map
MAIN ENTRY--PERSONAL AUTHOR
-- 49109
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 14847
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 49110
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 49111
Holdings
Date last seen Full call number Barcode Cost, replacement price Price effective from Koha item type Lost status Source of classification or shelving scheme Damaged status Not for loan Withdrawn status Permanent location Current location Shelving location Date acquired Source of acquisition
26/01/2017 332.632220151922 BE ST T0054799 301.60 26/01/2017 REGULAR   Dewey Decimal Classification       University of Wollongong in Dubai University of Wollongong in Dubai Main Collection 01/09/2016 Kinokuniya