Stochastic Volatility Modeling - Lorenzo Bergomi
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Saadetis 17-23 tööpäeva jooksul
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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 With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility.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 ... Täielik kirjeldus
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Kirjeldus
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 With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility.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.
Lisateave
| Autor | Lorenzo Bergomi |
|---|---|
| Kirjastaja | CRC Press |
| Väljalaskeaasta | 2016 |
| Kaanetüüp | Kõvakaaneline |
| EAN | 9781482244069 |