Lorenzo Bergomi

Stochastic Volatility Modeling (eBook, PDF)

• Format: PDF

Produktbeschreibung

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 c

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 522
• Erscheinungstermin: 16. Dezember 2015
• Englisch
• ISBN-13: 9781482244076
• Artikelnr.: 57074067

Autorenporträt

Lorenzo Bergomi heads the quantitative research group at Societe Generale, 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.

Inhaltsangabe

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.