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Stochastic volatility Modeling /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Bergomi, Lorenzo (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boca Raton : CRC Press, [2016]
Colección:Chapman & Hall/CRC financial mathematics series.
Temas:
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)

MARC

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100 1 |a Bergomi, Lorenzo,  |e author. 
245 1 0 |a Stochastic volatility Modeling /  |c Lorenzo Bergomi. 
260 |a Boca Raton :  |b CRC Press,  |c [2016] 
300 |a 1 online resource (xvi, 506 pages) 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
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490 1 |a Chapman and Hall/CRC Financial Mathematics Series 
504 |a Includes bibliographical references. 
588 0 |a Print version record. 
505 0 |a Front Cover; Contents; Preface; Chapter 1: Introduction; Chapter 2: Local volatility; Chapter 3: Forward-start options; Chapter 4: Stochastic volatility -- introduction; Chapter 5: Variance swaps; Chapter 6: An example of one-factor dynamics: the Heston model; Chapter 7: Forward variance models; Chapter 8: The smile of stochastic volatility models; Chapter 9: Linking static and dynamic properties of stochastic volatility models; Chapter 10: What causes equity smiles?; Chapter 11: Multi-asset stochastic volatility; Chapter 12: Local-stochastic volatility models; Epilogue; Bibliography. 
520 3 |a 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. 
590 |a O'Reilly  |b O'Reilly Online Learning: Academic/Public Library Edition 
650 0 |a Finance  |x Mathematical models. 
650 0 |a Securities  |x Mathematical models. 
650 0 |a Stochastic models. 
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650 6 |a Modèles stochastiques. 
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