| 000 | 04980cam a2200253 a 4500 | ||
|---|---|---|---|
| 999 |
_c29793 _d29793 |
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| 010 | _a 2015037873 | ||
| 020 | _a9781482244069 | ||
| 082 | 0 | 0 | _a332.63/2220151922 |
| 100 | 1 |
_aBergomi, Lorenzo _949109 |
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| 245 | 1 | 0 |
_aStochastic volatility modeling _cLorenzo Bergomi |
| 260 |
_aBoca Raton : _bCRC Press, _cc2016. |
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| 300 |
_axvi, 506 p. : _bill. ; _c25 cm. |
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| 490 | 0 | _aChapman & Hall/CRC financial mathematics series | |
| 504 | _aIncludes bibliographical references and index. | ||
| 520 | _aThis 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. | ||
| 650 | 0 |
_aFinance _xMathematical models _914847 |
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| 650 | 0 |
_aSecurities _xMathematical models _949110 |
|
| 650 | 0 |
_aStochastic models _949111 |
|
| 856 |
_uhttps://uowd.box.com/s/erf8ef475rmvuebm5wn6m7gtbp6wws1g _zLocation Map |
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