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Stochastic Volatility Modeling
Hardcover
Series: Chapman and Hall/CRC Financial Mathematics
Investing & FinanceProbability & Statistics
ISBN13: 9781482244069
Publisher: CRC Press
Published: Jan 5 2016
Pages: 522
Weight: 1.90
Height: 1.20 Width: 6.10 Depth: 9.30
Language: English
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 With many unpublished results and insights, the book addresses the practicalities of modeling local volatility, local-stochastic volatility, and multi-asset stochastic volatility.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.
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