Stochastic volatility modeling
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 e...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Boca Raton, FL :
Chapman and Hall/CRC, an imprint of Taylor and Francis
[2015].
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| Edición: | First edition |
| Colección: | Chapman & Hall/CRC financial mathematics series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009633578206719 |
| Sumario: | 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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| Descripción Física: | 1 online resource (520 pages) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9780429170461 9781482244076 |
