000			01466 a2200193 4500
999			_c661007 _d661007
008			200605b ||||| |||| 00| 0 eng d
020			_a9781482244069
082			_a332.63 _bBER
100			_aBergomi, Lorenzo
245			_aStochastic Volatility Modeling
260			_bChapman & Hall _c2016 _aBoca Raton
300			_axvi, 506 pages : illustrations ; 25 cm.
520			_aPacked 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 Société Générale'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
650			_aStochastic models
650			_aFinance
650			_aMathematical models
650			_aSecurities
942			_2ddc _cB