| Description |
1 online resource (xvi, 506 pages) |
| Series |
Chapman and Hall/CRC Financial Mathematics Series |
|
Chapman & Hall/CRC financial mathematics series.
|
| Bibliography |
Includes bibliographical references. |
| Contents |
Front Cover; Contents; Preface; Chapter 1: Introduction; Chapter 2: Local volatility; Chapter 3: Forward-start options; Chapter 4: Stochastic volatility -- introduction; Chapter 5: Variance swaps; Chapter 6: An example of one-factor dynamics: the Heston model; Chapter 7: Forward variance models; Chapter 8: The smile of stochastic volatility models; Chapter 9: Linking static and dynamic properties of stochastic volatility models; Chapter 10: What causes equity smiles?; Chapter 11: Multi-asset stochastic volatility; Chapter 12: Local-stochastic volatility models; Epilogue; Bibliography. |
| 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 |
Finance -- Mathematical models.
|
|
Securities -- Mathematical models.
|
|
Stochastic models.
|
|
Finances -- Modèles mathématiques. |
|
Modèles stochastiques. |
|
Finance -- Mathematical models |
|
Securities -- Mathematical models |
|
Stochastic models |
| Other Form: |
Print version: Bergomi, Lorenzo. Stochastic volatility modeling. Boca Raton : CRC Press, [2016] 9781482244069 (DLC) 2015037873 (OCoLC)925426425 |
| ISBN |
9781482244076 (electronic bk.) |
|
1482244071 (electronic bk.) |
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