ABSTRACT

Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c

chapter 1|24 pages

Introduction

chapter 2|78 pages

Local volatility

chapter 3|30 pages

Forward-start options

chapter 4|18 pages

Stochastic volatility – introduction

chapter 5|50 pages

Variance swaps

chapter 7|90 pages

Forward variance models

chapter 8|50 pages

The smile of stochastic volatility models

chapter 10|30 pages

What causes equity smiles?

chapter 11|32 pages

Multi-asset stochastic volatility

chapter 12|42 pages

Local-stochastic volatility models