Stochastic volatility modeling
By: Bergomi, Lorenzo.
Material type:
BookSeries: Chapman & Hall CRC financial mathematics series.Publisher: Boca Raton : CRC Press, 2016Description: xvi, 506 p. ; ill., 24 cm.ISBN: 9781482244069.Subject(s): Stochastic models | Finance and AccountingDDC classification: 332.632220151922 Summary: 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 c.
| Item type | Current location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
| Books | 332.632220151922 BER (Browse shelf) | Available | 034698 |
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Includes bibliographical references and index.
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 c.
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