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Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series), by Lorenzo Bergomi
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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 calibration make sense?
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.
- Sales Rank: #515467 in Books
- Published on: 2016-01-05
- Original language: English
- Number of items: 1
- Dimensions: 9.30" h x 1.20" w x 6.10" l, .0 pounds
- Binding: Hardcover
- 522 pages
About the Author
Lorenzo Bergomi heads the quantitative research group at Société Générale, covering all asset classes. A quant for over 15 years, he is well known for his pioneering work on stochastic volatility modeling, some of which has appeared in the Smile Dynamics series of articles in Risk magazine. He was also the magazine’s 2009 Quant of the Year. Originally trained as an electrical engineer and with a PhD in theoretical physics, he was active as a physicist in the condensed matter theory group at IphT, CEA, before moving to finance.
Most helpful customer reviews
3 of 3 people found the following review helpful.
Excellent and pleasant to read..
By Jonathan Amiel
An excellent book to better understand both local and stochastic volatility models with relevant case studies.
Strengths and weaknesses of the local volatility model are described in detail using concrete examples
Each chapter ends with a synthetic overview which helps the reader to remind all the key points of the book.
Anybody working in derivatives will benefit from reading and re-reading this book!
2 of 2 people found the following review helpful.
An indispensable reference for practitioners
By Ramon Verastegui
This book is bound to become a reference on the subject. It is self-contained, reads easily, and is focused on results. It discusses a vast range of topics and it includes material hardly found in other publications that is key to volatility trading. Specifically you will find the state of art in volatility smile,and option hedging; many relevant examples on volatility surfaces, VIX indices and options, and the models beyond Black-Scholes that are currently used in the industry.
0 of 1 people found the following review helpful.
Review
By Ronald Woode
Clear writing on a difficult subject to explain
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