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...

Full description

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Bergomi, Lorenzo (Author)
Format: Electronic eBook
Language:Inglés
Published: Boca Raton : CRC Press, [2016]
Series:Chapman & Hall/CRC financial mathematics series.
Subjects:
Finance > Mathematical models.
Securities > Mathematical models.
Stochastic models.
Finances > Modèles mathématiques.
Modèles stochastiques.
BUSINESS & ECONOMICS > Finance.
Online Access:Texto completo (Requiere registro previo con correo institucional)
Table of Contents:
  • 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.

Similar Items