Description
Stochastic Volatility Modeling
Chapman and Hall/CRC Financial Mathematics Series
Author: Bergomi Lorenzo
Language: EnglishSubjects for Stochastic Volatility Modeling:
Keywords
Local Volatility Model; Stochastic Volatility Models; Local volatility; Vanilla Option; Multi-asset stochastic volatility; Market Smile; Forward-start options; Volatility surface; Forward Start Options; local-stochastic volatility models; Local Stochastic Volatility Models; modeling of derivatives; Local Volatility Function; Lévy models; Atm Volatility; variance swaps; Maturity T2; Volatility Correlation; Volatility Model; Forward Variances; Heston Model; Vanilla Option Prices; VIX Futures; Stochastic Volatility; Log Contract; Quadratic Variation; Forward Volatilities; Set Iii; Maturity Ti; Implied Volatilities; Versus; Instantaneous Volatility
· 15.6x23.4 cm · Hardback
Description
/li>Contents
/li>Readership
/li>Biography
/li>
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.
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.
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.
These books may interest you
Stock Market Volatility 87.11 €