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By: Lorenzo Bergomi (Author)
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Written by a leading contributor to volatility modeling and Risks 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 With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility.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.
Packed with insights, Lorenzo Bergomis Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:
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, Risks 2009 Quant of the Year and a leading contributor to volatility modeling, draws on his experience as head quant in Société Générales 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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