Stochastic volatility modeling / Lorenzo Bergomi

Author : Bergomi, Lorenzo
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Stochastic volatility modeling / Lorenzo Bergomi...

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

Publisher :
Publish Year : 2016
Page : 506 pages
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