TY  - GEN
AU  - Bergomi, Lorenzo
TI  - Stochastic volatility modeling
T2  - Chapman and Hall/CRC financial mathematics series
SN  - 9780367848378 :
U1  - R.R. 332.63222051922 23rd
PY  - 2020///
CY  - Boca Raton, Fla.
PB  - CRC Press
KW  - Finance
KW  - Mathematical models
KW  - Securities
KW  - Stochastic models
N1  - 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
; Includes bibliographical references and indexes
ER  -