Stochastic volatility modeling / Lorenzo Bergomi

By:

Bergomi, Lorenzo

Series: Chapman and Hall/CRC financial mathematics seriesPublication details: Boca Raton, Fla. : CRC Press, 2020Description: xvi, 506 p. : charts ; 24 cmISBN:

9780367848378 :

Subject(s):

DDC classification:

23rd R.R. 332.63222051922 B 454

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Holdings
Item type	Current library	Collection	Call number	Materials specified	Status	Date due	Barcode	Item holds
Books	National Library of India New English - Main Stack Division	New English	R.R. 332.63222051922 B 454 (Browse shelf(Opens below))	HB	Available		PUR000579576ENG

Total holds: 0

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

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