{"product_id":"stochastic-volatility-modeling-9781482244069","title":"Stochastic Volatility Modeling","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePacked with insights, Lorenzo Bergomi's \u003cstrong\u003eStochastic Volatility Modeling\u003c\/strong\u003e explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cp\u003e\u003c\/p\u003e\n\u003cli\u003e\u003cem\u003eWhich trading issues do we tackle with stochastic volatility? \u003c\/em\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cem\u003eHow do we design models and assess their relevance? \u003c\/em\u003e\u003c\/li\u003e\n\u003cem\u003e\u003cli\u003eHow do we tell which models are usable and when does calibration make sense?\u003c\/li\u003e\u003c\/em\u003e\u003cp\u003e\u003c\/p\u003e\n\u003c\/ul\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eThis 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, \u003ci\u003eRisk\u003c\/i\u003e'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 iss\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003e\"With this book, Bergomi has actually offered a precious gift to the whole quant community: his very rich and concrete experience on volatility modelling organized in 500 pages and 12 chapters full of insights; and to the academic community as well: new ideas, points of view, and questions that could well feed their research for years.\"\u003c\/p\u003e\u003cp\u003e- Julien Guyon, \u003cem\u003eQuantitative Finance\u003c\/em\u003e\u003c\/p\u003e\u003cp\u003e\"[\u003cstrong\u003eStochastic Volatility Modeling\u003c\/strong\u003e] should be read by practitioners, as it is the only one providing a strong quantitative framework to the (Delta and Vega) hedging of Equity derivatives. It should also be read by academics who will benefit from practical insights. It should finally be read by (motivated) students, who will definitely find areas to dig deeper in, both theoretically and numerically […] This book should be seen as a strong case for the need of a deeper understanding of derivatives' modelling (and their risks). Lorenzo Bergomi provides us here with new tools (variance curve models, metrics such as the At-The-Money Forward Skew and the Skew Stickiness Ratio) as well as new results on hedging and P\u0026amp;L computations of actual trading strategies, which have been so far too much overlooked in mathematical finance research. Welcome to the new era of Derivatives Modelling!\"\u003c\/p\u003e\u003cp\u003e- Antoine Jacquier, \u003cem\u003eNewsletter of the Bachelier Finance Society\u003c\/em\u003e, November 2017\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eIntroduction. Local volatility. Forward-start options. Stochastic volatility: introduction. Variance swaps. An example of one-factor dynamics: the Heston model. Forward variance models. The smile of stochastic volatility models. Linking static and dynamic properties of stochastic volatility models. What causes equity smiles? Multi-asset stochastic volatility. Local-stochastic volatility models.\u003c\/p\u003e","brand":"Taylor \u0026 Francis Inc","offers":[{"title":"Default Title","offer_id":51019933253975,"sku":"9781482244069","price":80.74,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781482244069.jpg?v=1750781787","url":"https:\/\/bookcurl.com\/products\/stochastic-volatility-modeling-9781482244069","provider":"Book Curl","version":"1.0","type":"link"}