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Stochastic Volatility Modeling (Hardcover) Loot Price: R2,744
Discovery Miles 27 440
Stochastic Volatility Modeling (Hardcover): Lorenzo Bergomi

Stochastic Volatility Modeling (Hardcover)

Lorenzo Bergomi

Series: Chapman and Hall/CRC Financial Mathematics Series

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Loot Price R2,744 Discovery Miles 27 440 | Repayment Terms: R257 pm x 12*

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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.

General

Imprint: Apple Academic Press Inc.
Country of origin: Canada
Series: Chapman and Hall/CRC Financial Mathematics Series
Release date: 2016
First published: 2016
Authors: Lorenzo Bergomi
Dimensions: 234 x 156 x 36mm (L x W x T)
Format: Hardcover
Pages: 506
ISBN-13: 978-1-4822-4406-9
Categories: Books > Business & Economics > Economics > Econometrics > Economic statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > General
Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General
Books > Money & Finance > Investment & securities > General
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LSN: 1-4822-4406-3
Barcode: 9781482244069

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