Chapman and Hall/CRC Financial Mathematics: Stochastic Volatility download ebook TXT, PDF, DJV
9781482244069 1482244063 Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modelingexplains how stochastic volatility is used to address issues arising in the modeling of derivatives, including: Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does calibration make sense? 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., Requiring only elementary familiarity with the models and concepts of mathematical finance, this book explains how stochastic volatility can be used to address actual pricing and hedging issues arising in derivatives modeling, particularly with regards to equity derivatives. Starting with a thorough cross-examination of local volatility, it gently takes the reader through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material., Written by a practitioner and well-known contributor to volatility modeling, this book addresses the practicalities of stochastic volatility modeling, mostly in an equity context. The author considers: Which trading issues do we tackle with stochastic volatility? What breed of stochastic volatility is needed? How do we specify models and numerically solve their pricing equations? How do we use models and assess their relevance? Starting with a thorough cross-examination of local volatility, the book gently takes readers through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material. Only elementary familiarity with the models and concepts of mathematical finance is required.
9781482244069 1482244063 Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modelingexplains how stochastic volatility is used to address issues arising in the modeling of derivatives, including: Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does calibration make sense? 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., Requiring only elementary familiarity with the models and concepts of mathematical finance, this book explains how stochastic volatility can be used to address actual pricing and hedging issues arising in derivatives modeling, particularly with regards to equity derivatives. Starting with a thorough cross-examination of local volatility, it gently takes the reader through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material., Written by a practitioner and well-known contributor to volatility modeling, this book addresses the practicalities of stochastic volatility modeling, mostly in an equity context. The author considers: Which trading issues do we tackle with stochastic volatility? What breed of stochastic volatility is needed? How do we specify models and numerically solve their pricing equations? How do we use models and assess their relevance? Starting with a thorough cross-examination of local volatility, the book gently takes readers through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material. Only elementary familiarity with the models and concepts of mathematical finance is required.