Stochastic volatility Modeling /

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Bibliographic Details
Author / Creator:	Bergomi, Lorenzo, author.
Imprint:	Boca Raton : CRC Press, [2016]
Description:	1 online resource (xvi, 506 pages)
Language:	English
Series:	Chapman and Hall/CRC Financial Mathematics Series Chapman & Hall/CRC financial mathematics series.
Subject:	Finance -- Mathematical models. Securities -- Mathematical models. Stochastic models. Finance -- Mathematical models Securities -- Mathematical models Stochastic models
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/13648214

Hidden Bibliographic Details
ISBN:	9781482244076 1482244071
Notes:	Includes bibliographical references. Print version record.
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.
Other form:	Print version: Bergomi, Lorenzo. Stochastic volatility modeling. Boca Raton : CRC Press, [2016] 9781482244069

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