Stochastic Volatility Modeling

Book
No Media

This item doesn’t have any media yet

Stochastic Volatility Modeling

2016 | Business & Finance

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 Societe Generale'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.



Published by Apple Academic Press Inc.

Edition Unknown
ISBN 9781482244069
Language N/A

Images And Data Courtesy Of: Apple Academic Press Inc..
This content (including text, images, videos and other media) is published and used in accordance with Fair Use.