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Stochastic Volatility Modeling (Hardcover) (Lorenzo Bergomi)

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About this item

In this book, author Lorenzo Bergomipresents readers with an examination of the methods used to employ stochastic volatility to address a variety of issues that come from the modeling of derivatives. The author covers local volatility, forward-start options, stochastic volatility, variance, swaps, the Heston model of one-factor dynamics, forward variance models, stochastic volatility models, the linking of static and dynamic properties in stochastic volatility models, and a wide variety of other related subjects. The author is with Soci&’e&t&’e& G&’e&n&’e&rale in Paris, France. Annotation ©2016 Ringgold, Inc., Portland, OR (protoview.com)
Number of Pages: 506
Genre: Business + Money Management, Mathematics
Sub-Genre: Finance, Securities
Series Title: Chapman and Hall/CRC Financial Mathematics
Format: Hardcover
Publisher: Taylor & Francis
Author: Lorenzo Bergomi
Language: English
Street Date: January 5, 2016
TCIN: 50773265
UPC: 9781482244069
Item Number (DPCI): 248-10-8594
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