By Lorenzo Bergomi
Packed with insights, Lorenzo Bergomi’s Stochastic Volatility Modeling explains how stochastic volatility is used to deal with matters bobbing up within the modeling of derivatives, including:
- Which buying and selling concerns will we take on with stochastic volatility?
- How will we layout types and examine their relevance?
- How will we inform which types are usable and while does calibration make sense?
This handbook covers the practicalities of modeling neighborhood volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility. during this exploration, the writer, Risk’s 2009 Quant of the 12 months and a number one contributor to volatility modeling, attracts on his event as head quant in Société Générale’s fairness derivatives department. transparent and simple, the publication takes readers via quite a few modeling demanding situations, all originating in real trading/hedging matters, with a spotlight at the sensible results of modeling choices.
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Extra info for Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)
Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series) by Lorenzo Bergomi