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Stochastic Volatility Modeling - Lorenzo (Societe Generale Bergomi - Bog

Bag om Stochastic Volatility Modeling

Written by a leading contributor to volatility modeling and Risk?s 2009 Quant of the Year, this book explains how stochastic volatility is used to tackle practical issues arising in the modeling of derivatives. With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility. It covers forward-start options, variance swaps, options on realized variance, timer options, VIX futures and options, and daily cliquets.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781482244069
  • Indbinding:
  • Hardback
  • Sideantal:
  • 522
  • Udgivet:
  • 5. Januar 2016
  • Størrelse:
  • 241x164x36 mm.
  • Vægt:
  • 930 g.
  • 4-7 hverdage.
  • 5. April 2024

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Prøv i 30 dage for 45 kr.
Herefter fra 79 kr./md. Ingen binding.

Beskrivelse af Stochastic Volatility Modeling

Written by a leading contributor to volatility modeling and Risk?s 2009 Quant of the Year, this book explains how stochastic volatility is used to tackle practical issues arising in the modeling of derivatives. With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility. It covers forward-start options, variance swaps, options on realized variance, timer options, VIX futures and options, and daily cliquets.

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