Stochastic Volatility Modeling - Lorenzo Bergomi
-25% koodilla BOOKS
Toimitus 17-23 arkipäivässä
30 päivän palautusoikeus
Written by a leading contributor to volatility modeling and Risk's 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 With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility.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-s ... Täydellinen kuvaus
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Kuvaus
Written by a leading contributor to volatility modeling and Risk's 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 With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility.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.
Lisätietoja
| Kirjoittaja | Lorenzo Bergomi |
|---|---|
| Julkaisija | CRC Press |
| Julkaisuvuosi | 2016 |
| Kannen tyyppi | Kovakantinen |
| EAN | 9781482244069 |