Stochastic Volatility Modeling (PDF)

Name: Stochastic Volatility Modeling
Brand: Taylor & Francis
SKU: 125777727
Price: 56.10 EUR
Availability: OnlineOnly

(Sprache: Englisch)

Autor: Lorenzo Bergomi

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Stochastic Volatility Modeling, Lorenzo Bergomi

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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...

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Autoren-Porträt von Lorenzo Bergomi

Lorenzo Bergomi heads the quantitative research group at Societe Generale, 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.