Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)
(By Lorenzo Bergomi)
Read Ebook | Size | 23 MB (23,082 KB) |
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| Author | Lorenzo Bergomi |
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Which trading issues do we tackle with stochastic volatility? What breed of stochastic volatility is needed? How do we specify models and numerically solve their pricing equations? How do we use models and assess their relevance?"
Starting with a thorough cross-examination of local volatility, the book gently takes readers through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material. Only elementary familiarity with the models and concepts of mathematical finance is required.”
