عنوان
پدید آورنده
موضوع
رده
HG106 .L674 2016
HG106
.
L674
2016
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
1482244071
(Number (ISBN
9781482244076
NATIONAL BIBLIOGRAPHY NUMBER
Number
b557228
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Stochastic volatility modeling
General Material Designation
[Book]
First Statement of Responsibility
Lorenzo Bergomi.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Boca Raton
Name of Publisher, Distributor, etc.
CRC Press
Date of Publication, Distribution, etc.
[2016]
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
(xvi, 506 pages) : illustrations.
SERIES
Series Title
Chapman & Hall/CRC financial mathematics series.
CONTENTS NOTE
Text of Note
Introduction. Local volatility. Forward-start options. Stochastic volatility: introduction. Variance swaps. An example of one-factor dynamics: the Heston model. Forward variance models. The smile of stochastic volatility models. Linking static and dynamic properties of stochastic volatility models. What causes equity smiles? Multi-asset stochastic volatility. Local-stochastic volatility models.
TOPICAL NAME USED AS SUBJECT
Finance -- Mathematical models.
Securities -- Mathematical models.
Stochastic models.
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG106
Book number
.
L674
2016
PERSONAL NAME - PRIMARY RESPONSIBILITY
Lorenzo Bergomi.
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Lorenzo Bergomi
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
