Stochastic Volatility Modeling - Bergomi Lorenzo
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…
Specifikacia Stochastic Volatility Modeling - Bergomi Lorenzo
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
Volatility Surface
Basic Stochastic Processes
Lorenzo Lotto
Stochastic Optimization Methods
Discrete-time Stochastic Systems
Introduction to Stochastic Processes
Stochastic Analysis on Manifolds
Silva, Lorenzo
Jorge Lorenzo