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Stochastic volatility modeling Lorenzo Bergomi

By: Material type: TextTextSeries: Chapman & Hall/CRC financial mathematics seriesPublication details: Boca Raton : CRC Press, c2016.Description: xvi, 506 p. : ill. ; 25 cmISBN:
  • 9781482244069
Subject(s): DDC classification:
  • 332.63/2220151922
Online resources: 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.
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Holdings
Item type Current library Call number Status Date due Barcode
REGULAR University of Wollongong in Dubai Main Collection 332.632220151922 BE ST (Browse shelf(Opens below)) Available T0054799

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.

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