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Stochastic Volatility Modeling (Hardcover)
Loot Price: R2,627
Discovery Miles 26 270
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Stochastic Volatility Modeling (Hardcover)
Series: Chapman and Hall/CRC Financial Mathematics Series
Expected to ship within 9 - 15 working days
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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.
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