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