Full Product Details
Author: Lorenzo Bergomi
Publisher: Taylor & Francis Inc
Imprint: Chapman & Hall/CRC
Dimensions:
Width: 15.60cm
, Height: 3.00cm
, Length: 23.40cm
Weight: 1.950kg
ISBN: 9781482244069
ISBN 10: 1482244063
Pages: 522
Publication Date: 05 January 2016
Audience:
General/trade
,
College/higher education
,
Professional and scholarly
,
General
,
Tertiary & Higher Education
Format: Hardback
Publisher's Status: Active
Availability: In Print
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Reviews
With this book, Bergomi has actually offered a precious gift to the whole quant community: his very rich and concrete experience on volatility modelling organized in 500 pages and 12 chapters full of insights; and to the academic community as well: new ideas, points of view, and questions that could well feed their research for years. - Julien Guyon, Quantitative Finance [Stochastic Volatility Modeling] should be read by practitioners, as it is the only one providing a strong quantitative framework to the (Delta and Vega) hedging of Equity derivatives. It should also be read by academics who will benefit from practical insights. It should finally be read by (motivated) students, who will definitely find areas to dig deeper in, both theoretically and numerically [...] This book should be seen as a strong case for the need of a deeper understanding of derivatives' modelling (and their risks). Lorenzo Bergomi provides us here with new tools (variance curve models, metrics such as the At-The-Money Forward Skew and the Skew Stickiness Ratio) as well as new results on hedging and P&L computations of actual trading strategies, which have been so far too much overlooked in mathematical finance research. Welcome to the new era of Derivatives Modelling! - Antoine Jacquier, Newsletter of the Bachelier Finance Society, November 2017
With this book, Bergomi has actually offered a precious gift to the whole quant community: his very rich and concrete experience on volatility modelling organized in 500 pages and 12 chapters full of insights; and to the academic community as well: new ideas, points of view, and questions that could well feed their research for years. -Julien Guyon, Quantitative Finance
Author Information
Lorenzo Bergomi heads the quantitative research group at Société Générale, covering all asset classes. A quant for over 15 years, he is well known for his pioneering work on stochastic volatility modeling, some of which has appeared in the Smile Dynamics series of articles in Risk magazine. He was also the magazine’s 2009 Quant of the Year. Originally trained as an electrical engineer and with a PhD in theoretical physics, he was active as a physicist in the condensed matter theory group at IphT, CEA, before moving to finance.
