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关键词:
Stochastic Volatility Modeling
书目信息
ISBN:
9781482244076
本馆索书号:
中图分类号:
F83
中文译名:
随机波动率模型
作者:
Lorenzo Bergomi
编者:
语种:
英语
出版信息
出版社:
CRC Press
出版地:
出版年:
2015
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原版
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卷期:
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内容简介:
Written by a practitioner and well-known contributor to volatility modeling, this book addresses the practicalities of stochastic volatility modeling, mostly in an equity context. The author considers: * which trading issues do we tackle with stochastic volatility? * what breed of stochastic volatility is needed? * how do we specify models and numerically solve their pricing equations? * how do we use models and assess their relevance? starting with a thorough cross-examination of local volatility, the book gently takes readers through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material. Only elementary familiarity with the models and concepts of mathematical finance is required.
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