Stochastic Volatility Modeling | Buch

Cover: 9781482244069 | Stochastic Volatility Modeling | Lorenzo Bergomi | Buch | Englisch

Rückseite: 9781482244069 | Stochastic Volatility Modeling | Lorenzo Bergomi | Buch | Englisch

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Sprache: Englisch

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Beschreibung

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 With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility.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.

Über den Autor

Lorenzo Bergomi heads the quantitative research group at Société Générale, covering all asset classes. A quant for over 15 years, he is well known for his pioneering work on stochastic volatility modeling, some of which has appeared in the Smile Dynamics series of articles in Risk magazine. He was also the magazine's 2009 Quant of the Year. Originally trained as an electrical engineer and with a PhD in theoretical physics, he was active as a physicist in the condensed matter theory group at IphT, CEA, before moving to finance.

Inhaltsverzeichnis

Introduction. Local volatility. Forward-start options. Stochastic volatility: introduction. Variance swaps. An example of one-factor dynamics: the Heston model. Forward variance models. The smile of stochastic volatility models. Linking static and dynamic properties of stochastic volatility models. What causes equity smiles? Multi-asset stochastic volatility. Local-stochastic volatility models.

Details

Erscheinungsjahr:	2016
Fachbereich:	Werbung & Marketing
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	Einband - fest (Hardcover)
ISBN-13:	9781482244069
ISBN-10:	1482244063
Sprache:	Englisch
Einband:	Gebunden
Autor:	Bergomi, Lorenzo
Hersteller:	Chapman and Hall/CRC
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	240 x 161 x 33 mm
Von/Mit:	Lorenzo Bergomi
Erscheinungsdatum:	05.01.2016
Gewicht:	0,945 kg