Stochastic Volatility Modeling | 誠品線上

Stochastic Volatility Modeling

內容簡介

內容簡介 Written by a leading contributor to volatility modeling and Risk's 2009 Quant of the Year, this book explains how stochastic volatility is used to tackle practical issues arising in the modeling of derivatives. With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility. It covers forward-start options, variance swaps, options on realized variance, timer options, VIX futures and options, and daily cliquets.

作者介紹

作者介紹 Lorenzo Bergomi heads the quantitative research group at Société Générale, covering all asset classes. A quant for over 15 years, he is well known for his pioneering work on stochastic volatility modeling, some of which has appeared in the Smile Dynamics series of articles in Risk magazine. He was also the magazine's 2009 Quant of the Year. Originally trained as an electrical engineer and with a PhD in theoretical physics, he was active as a physicist in the condensed matter theory group at IphT, CEA, before moving to finance.

商品規格

活動

• 5/31前 全站滿$3,500折$400
• 5/31前 全站滿$1,500折$150
• 5/31前 全站滿$2,500折$250