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Author
Publisher
CRC Press
Pub. Date
[2016]
Physical Desc
1 online resource (xvi, 506 pages)
Language
English
Description
This manual covers the practicalities of modeling local volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility. In the course of this exploration, the author, Risk's 2009 Quant of the Year and a leading contributor to volatility modeling, draws on his experience as head quant in Société Générale's equity derivatives division. Clear and straightforward, the book takes readers through various modeling...
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