Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series) - Image 1

£85.35

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

Name: Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)
Brand: CRC Press
Price: 80.95 GBP
Availability: InStock

Econometrics

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Last 89 days • 89 data points

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Price distribution over 89 days • 3 price levels

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Most common price: £85 (84 days, 94.4%)

Price range: £81 - £85

Price levels: 3 different prices over 89 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.

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Brand: CRC Press
Format: hardcover
ASIN: 1482244063
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 05 January 2016
Listed Since: 15 April 2015

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

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