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Stochastic Volatility Modeling. 確率的ボラティリティ・モデリング
・ISBN 978-1-4822-4406-9 hard GB£ 103.99
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| 著者・編者 | Bergomi, Lorenzo, |
|---|---|
| シリーズ | Chapman & Hall/CRC Financial Mathematics Series |
| 出版社 | (Chapman & Hall / CRC, US) |
| 出版年月 | 2016 |
| ページ数 | xvi, 506 pp. |
| 言語 | ENG |
| ニュース番号 | ＜629-555 T44-521＞ |
解説
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 Societe Generale'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.