Stochastic Volatility Modeling / Edition 1

Lorenzo Bergomi

Stochastic Volatility Modeling is a comprehensive guide to the theory and implementation of stochastic volatility models in finance. The book is written by Lorenzo Bergomi, an experienced quantitative analyst and researcher in the financial industry, and covers the foundations of stochastic calculus, the basics of stochastic processes, and the concepts and methods used in financial modeling.

The book is divided into three main parts. Part I introduces the reader to the fundamentals of stochastic calculus and stochastic processes, covering topics such as Brownian motion, Itô's lemma, and the Black-Scholes model. Part II details the key concepts and methods used in financial modeling, including the pricing of European and American options, the Greeks, and the Monte Carlo method. Finally, Part III focuses on stochastic volatility models, providing the reader with a comprehensive introduction to these models and their applications in finance.

Throughout the book, Bergomi emphasizes the practical aspects of stochastic volatility modeling, providing clear examples and detailed explanations of the key concepts and techniques. The book also includes numerous exercises and solutions, allowing readers to test their understanding of the material and to develop their own models and methods as they progress through the text.

Overall, Stochastic Volatility Modeling is an invaluable resource for anyone interested in the theory and application of stochastic volatility models in finance. Whether you are a novice or an experienced practitioner, this book will provide you with the tools and knowledge you need to make informed decisions in this exciting and rapidly evolving field.

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