Stochastic Volatility Modeling (Chapman and Hall/CRC by Lorenzo Bergomi PDF

By Lorenzo Bergomi

ISBN-10: 1482244063

ISBN-13: 9781482244069

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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Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series) by Lorenzo Bergomi

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