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Stochastic volatility modeling

By: Bergomi, Lorenzo.
Material type: materialTypeLabelBookSeries: Chapman & Hall/CRC Financial Mathematics Series. Publisher: Boca Raton CRC Press 2016Description: xvi, 506 p.ISBN: 9781482244069.Subject(s): Finance - Mathematical models | Securities - Mathematical models | Stochastic modelsDDC classification: 332.632220151922 Summary: 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: 1. Which trading issues do we tackle with stochastic volatility? 2. How do we design models and assess their relevance? 3. 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. (https://www.crcpress.com/Stochastic-Volatility-Modeling/Bergomi/p/book/9781482244069)
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Item type Current location Item location Collection Call number Status Date due Barcode
Books Vikram Sarabhai Library
Slot 703 (0 Floor, West Wing) Non-fiction 332.632220151922 B3S8 (Browse shelf) Available 192554

Table of Contents:

1.Introduction

2.Local Volatility

3.Forward-Start Options

4.Stochastic Volatility: Introduction

5.Variance Swaps

6.An Example of One-Factor Dynamics: The Heston Model

7.Forward Variance Models

8.The Smile of Stochastic Volatility Models

9.Linking Static and Dynamic Properties of Stochastic Volatility Models

10.What Causes Equity Smiles?

11.Multi-Asset Stochastic Volatility

12.Local-Stochastic Volatility Models

Epilogue
Bibliography
Index

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:
1. Which trading issues do we tackle with stochastic volatility?
2. How do we design models and assess their relevance?
3. 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.

(https://www.crcpress.com/Stochastic-Volatility-Modeling/Bergomi/p/book/9781482244069)

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