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Stochastic Volatility Modeling

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by Lorenzo Bergomi
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Stochastic Volatility Modeling by Lorenzo Bergomi

Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:

  • Which trading issues do we tackle with stochastic volatility?
  • How do we design models and assess their relevance?
  • How do we tell which models are usable and when does calibration make sense?

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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Ebook Details
Pages: 506
Size: 102.2 MB
Publisher: CRC Press
Date published:   2016
ISBN: 9781482244076 (DRM-PDF)

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This product is listed in the following categories:

Nonfiction > Mathematics
Nonfiction > Mathematics > Probability & Statistics
Nonfiction > Business & Economics > Finance

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