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210823 ||| eng |
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|a 9781482244076
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|a HG106.B39 2016
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| 100 |
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|a Bergomi, Lorenzo
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|a Stochastic volatility Modeling
|c Lorenzo Bergomi
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| 260 |
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|a Boca Raton
|b CRC Press
|c 2016
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| 300 |
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|a xvi, 506 pages
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|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
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|a Includes bibliographical references
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| 653 |
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|a Finance / Mathematical models / fast
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|a Finance / Mathematical models / http://id.loc.gov/authorities/subjects/sh85048260
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| 653 |
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|a Securities / Mathematical models / fast
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| 653 |
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|a Modèles stochastiques
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| 653 |
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|a Stochastic models / http://id.loc.gov/authorities/subjects/sh2005004376
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| 653 |
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|a BUSINESS & ECONOMICS / Finance / bisacsh
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| 653 |
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|a Finances / Modèles mathématiques
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| 653 |
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|a Stochastic models / fast
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| 653 |
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|a Securities / Mathematical models
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| 041 |
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|a eng
|2 ISO 639-2
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| 989 |
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|b OREILLY
|a O'Reilly
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| 490 |
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|a Chapman and Hall/CRC Financial Mathematics Series
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| 776 |
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|z 9781482244076
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| 776 |
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|z 1482244071
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| 856 |
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|u https://learning.oreilly.com/library/view/~/9781482244076/?ar
|x Verlag
|3 Volltext
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|a 332.64570151922
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|a 332
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|a 330
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|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
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