Stochastic volatility modeling / by Lorenzo Bergomi.

Format:

Book

Author/Creator:

Bergomi, Lorenzo, author.

Series:

Chapman & Hall/CRC financial mathematics series.

Chapman and Hall/CRC Financial Mathematics Series

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Securities--Mathematical models.

Securities.

Stochastic models.

Physical Description:

1 online resource (520 pages)

Edition:

First edition.

Place of Publication:

Boca Raton, FL : Chapman and Hall/CRC, an imprint of Taylor and Francis, [2015].

Summary:

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.

Contents:

chapter 1 Introduction

chapter 2 Local volatility

chapter 3 Forward-start options

chapter 4 Stochastic volatility - introduction

chapter 5 Variance swaps

chapter 6 An example of one-factor dynamics: the Heston model

chapter 7 Forward variance models

chapter 8 The smile of stochastic volatility models

chapter 9 Linking static and dynamic properties of stochastic volatility mod- els

chapter 10 What causes equity smiles?

chapter 11 Multi-asset stochastic volatility

chapter 12 Local-stochastic volatility models.

Notes:

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781040077474

1040077471

9780429170461

0429170467

9781482244076

1482244071

OCLC:

925426425