£77.99

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CRC Press Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)

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Last 87 days · 87 data points (no recent data)

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£92.99 £76.49 £80.09 £83.69 £87.29 £90.89 £94.49 25 July 2026 15 August 2026 06 September 2026 27 September 2026 19 October 2026
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22 days · current 65 days 0 16 33 49 65 £78 £93 Days at Price

Price Analysis

Most common price: £93 (65 days, 74.7%)

Price range: £78 - £93

Price levels: 2 different prices over 87 days

Description

Packed with insights, Lorenzo Bergomi’s Stochastic Volatility Modeling explains 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.

Key Features

New Store Stock

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
05 January 2016
Listed Since
15 April 2015

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