Stochastic volatility modeling

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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Detalles Bibliográficos
Otros Autores: Bergomi, Lorenzo, author (author)
Formato: Libro electrónico
Idioma:Inglés
Publicado: Boca Raton, FL : Chapman and Hall/CRC, an imprint of Taylor and Francis [2015].
Edición:First edition
Colección:Chapman & Hall/CRC financial mathematics series.
Materias:
Finance > Mathematical models.
Securities > Mathematical models.
Stochastic models.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009633578206719
Tabla de Contenidos:
  • chapter 1 Introduction
  • chapter 2 Local volatility
  • chapter 3 Forward-start options
  • chapter 4 Stochastic volatility - introduction
  • chapter 5 Variance swaps
  • chapter 6 An example of one-factor dynamics: the Heston model
  • chapter 7 Forward variance models
  • chapter 8 The smile of stochastic volatility models
  • chapter 9 Linking static and dynamic properties of stochastic volatility mod- els
  • chapter 10 What causes equity smiles?
  • chapter 11 Multi-asset stochastic volatility
  • chapter 12 Local-stochastic volatility models.

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