Stochastic Volatility Modeling

By:

Bergomi, Lorenzo

Material type: Text

TextSeries: Chapman and Hall/CRC Financial Mathematics SeriesPublication details: CRC Press 2016 Boca RatonDescription: 506pISBN:

9781482244069

Subject(s):

Finance - Mathematical models

DDC classification:

332.6322 BER

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Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	332.6322 BER (Browse shelf(Opens below))	Available		M0034683

Total holds: 0

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1. Introduction
2. Local volatility
3. Forward-start options
4. Stochastic volatility - introduction
5. Variance swaps
6. An example of one-factor dynamics: the Heston model
7. Forward variance models
8. The smile of stochastic volatility models
9. Linking static and dynamic properties of stochastic volatility models
10. What causes equity smiles?
11. Multi-asset stochastic volatility
12. Local-stochastic volatility models

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