Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)

Book Details

• Author: Lorenzo Bergomi

• Publisher: CRC Press (Chapman Hall)

• Edition: 1

• Binding: Hardcover

• Number of Pages: 522

• ISBN: 9781482244069

• Languages: English

• Dimensions: 9.1 x 6.6 x 1.1 inches

About The Book

"Stochastic Volatility Modeling" by Lorenzo Bergomi is an essential guide for understanding stochastic volatility in the context of financial derivatives modeling. Released in January 2016, this 522-page hardcover book offers a comprehensive exploration of how stochastic volatility models address key issues in the derivatives market, making it an invaluable resource for both practitioners and academics.

Bergomi, a prominent figure in volatility modeling and the Quant of the Year 2009 by Risk, leverages his extensive experience as the head quant at Société Générale’s equity derivatives division to provide practical insights. The book answers crucial questions such as:

• Which trading issues can stochastic volatility address?

• How to design relevant models and assess their effectiveness?

• When is calibration necessary, and how do we evaluate model usability?

With a focus on local volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility, this manual helps readers navigate the complexities of volatility modeling. Bergomi's approach emphasizes practical challenges faced during trading and hedging activities, making the book a hands-on tool for those in the field.

Through clear explanations and real-world examples, Bergomi explores the practical consequences of modeling choices. The book is perfect for anyone involved in financial modeling, derivatives trading, and quantitative finance, offering both theoretical depth and practical guidance on applying volatility models in real-world scenarios.