Stochastic Volatility Modeling

Author Lorenzo Bergomi

Release Date: 2015/12/01

ISBN: 9781482244076

Topic:

111
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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 c

Front Cover (1/2)
Front Cover (2/2)
Contents (1/2)
Contents (2/2)
Preface
Chapter 1: Introduction (1/5)
Chapter 1: Introduction (2/5)
Chapter 1: Introduction (3/5)
Chapter 1: Introduction (4/5)
Chapter 1: Introduction (5/5)
Chapter 2: Local volatility (1/16)
Chapter 2: Local volatility (2/16)
Chapter 2: Local volatility (3/16)
Chapter 2: Local volatility (4/16)
Chapter 2: Local volatility (5/16)
Chapter 2: Local volatility (6/16)
Chapter 2: Local volatility (7/16)
Chapter 2: Local volatility (8/16)
Chapter 2: Local volatility (9/16)
Chapter 2: Local volatility (10/16)
Chapter 2: Local volatility (11/16)
Chapter 2: Local volatility (12/16)
Chapter 2: Local volatility (13/16)
Chapter 2: Local volatility (14/16)
Chapter 2: Local volatility (15/16)
Chapter 2: Local volatility (16/16)
Chapter 3: Forward-start options (1/6)
Chapter 3: Forward-start options (2/6)
Chapter 3: Forward-start options (3/6)
Chapter 3: Forward-start options (4/6)
Chapter 3: Forward-start options (5/6)
Chapter 3: Forward-start options (6/6)
Chapter 4: Stochastic volatility – introduction (1/4)
Chapter 4: Stochastic volatility – introduction (2/4)
Chapter 4: Stochastic volatility – introduction (3/4)
Chapter 4: Stochastic volatility – introduction (4/4)
Chapter 5: Variance swaps (1/10)
Chapter 5: Variance swaps (2/10)
Chapter 5: Variance swaps (3/10)
Chapter 5: Variance swaps (4/10)
Chapter 5: Variance swaps (5/10)
Chapter 5: Variance swaps (6/10)
Chapter 5: Variance swaps (7/10)
Chapter 5: Variance swaps (8/10)
Chapter 5: Variance swaps (9/10)
Chapter 5: Variance swaps (10/10)
Chapter 6: An example of one-factor dynamics: the Heston model (1/4)
Chapter 6: An example of one-factor dynamics: the Heston model (2/4)
Chapter 6: An example of one-factor dynamics: the Heston model (3/4)
Chapter 6: An example of one-factor dynamics: the Heston model (4/4)
Chapter 7: Forward variance models (1/18)
Chapter 7: Forward variance models (2/18)
Chapter 7: Forward variance models (3/18)
Chapter 7: Forward variance models (4/18)
Chapter 7: Forward variance models (5/18)
Chapter 7: Forward variance models (6/18)
Chapter 7: Forward variance models (7/18)
Chapter 7: Forward variance models (8/18)
Chapter 7: Forward variance models (9/18)
Chapter 7: Forward variance models (10/18)
Chapter 7: Forward variance models (11/18)
Chapter 7: Forward variance models (12/18)
Chapter 7: Forward variance models (13/18)
Chapter 7: Forward variance models (14/18)
Chapter 7: Forward variance models (15/18)
Chapter 7: Forward variance models (16/18)
Chapter 7: Forward variance models (17/18)
Chapter 7: Forward variance models (18/18)
Chapter 8: The smile of stochastic volatility models (1/10)
Chapter 8: The smile of stochastic volatility models (2/10)
Chapter 8: The smile of stochastic volatility models (3/10)
Chapter 8: The smile of stochastic volatility models (4/10)
Chapter 8: The smile of stochastic volatility models (5/10)
Chapter 8: The smile of stochastic volatility models (6/10)
Chapter 8: The smile of stochastic volatility models (7/10)
Chapter 8: The smile of stochastic volatility models (8/10)
Chapter 8: The smile of stochastic volatility models (9/10)
Chapter 8: The smile of stochastic volatility models (10/10)
Chapter 9: Linking static and dynamic properties of stochastic volatility models (1/7)
Chapter 9: Linking static and dynamic properties of stochastic volatility models (2/7)
Chapter 9: Linking static and dynamic properties of stochastic volatility models (3/7)
Chapter 9: Linking static and dynamic properties of stochastic volatility models (4/7)
Chapter 9: Linking static and dynamic properties of stochastic volatility models (5/7)
Chapter 9: Linking static and dynamic properties of stochastic volatility models (6/7)
Chapter 9: Linking static and dynamic properties of stochastic volatility models (7/7)
Chapter 10: What causes equity smiles? (1/6)
Chapter 10: What causes equity smiles? (2/6)
Chapter 10: What causes equity smiles? (3/6)
Chapter 10: What causes equity smiles? (4/6)
Chapter 10: What causes equity smiles? (5/6)
Chapter 10: What causes equity smiles? (6/6)
Chapter 11: Multi-asset stochastic volatility (1/7)
Chapter 11: Multi-asset stochastic volatility (2/7)
Chapter 11: Multi-asset stochastic volatility (3/7)
Chapter 11: Multi-asset stochastic volatility (4/7)
Chapter 11: Multi-asset stochastic volatility (5/7)
Chapter 11: Multi-asset stochastic volatility (6/7)
Chapter 11: Multi-asset stochastic volatility (7/7)
Chapter 12: Local-stochastic volatility models (1/9)
Chapter 12: Local-stochastic volatility models (2/9)
Chapter 12: Local-stochastic volatility models (3/9)
Chapter 12: Local-stochastic volatility models (4/9)
Chapter 12: Local-stochastic volatility models (5/9)
Chapter 12: Local-stochastic volatility models (6/9)
Chapter 12: Local-stochastic volatility models (7/9)
Chapter 12: Local-stochastic volatility models (8/9)
Chapter 12: Local-stochastic volatility models (9/9)
Epilogue
Bibliography (1/2)
Bibliography (2/2)
Back Cover

Stochastic Volatility Modeling

Table of Contents