Free download ebooks in epub format Stochastic Volatility Modeling Lorenzo Bergomi

Stochastic Volatility Modeling

Stochastic Volatility Modeling

by Lorenzo Bergomi

Publisher: Taylor & Francis
ISBN: 9781482244069
Pages: 514
Format: pdf, ePub, mobi, fb2
File size: 13 Mb
Date posting: 2020-09-20
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Description

Written by a practitioner and well-known contributor to volatility modeling, this book addresses the practicalities of stochastic volatility modeling, mostly in an equity context. The author considers: Which trading issues do we tackle with stochastic volatility? What breed of stochastic volatility is needed? How do we specify models and numerically solve their pricing equations? How do we use models and assess their relevance? Starting with a thorough cross-examination of local volatility, the book gently takes readers through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material. Only elementary familiarity with the models and concepts of mathematical finance is required.