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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| Format: | eBook |
| Language: | English |
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Boca Raton
CRC Press
2016
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| Series: | Chapman and Hall/CRC Financial Mathematics Series
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| Collection: | O'Reilly - Collection details see MPG.ReNa |
| Summary: | 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 |
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| Physical Description: | xvi, 506 pages |
| ISBN: | 9781482244076 |