Lorenzo Bergomi

Stochastic Volatility Modeling (eBook, PDF)

• Format: PDF

Produktbeschreibung

Written by a leading contributor to volatility modeling and Risk's 2009 Quant of the Year, this book explains how stochastic volatility is used to tackle practical issues arising in the modeling of derivatives. With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility. It covers forward-start options, variance swaps, options on realized variance, timer options, VIX futures and options, and daily cliquets.

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Produktdetails

• Verlag: Taylor & Francis
• 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.