About this book

    Packed with insights, this manual covers the practicalities of volatility modeling: local volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility.

 

    Drawing on his experience as head quant in Société Générale’s equity derivatives division, the author, a leading volatility modeler and Risk’s 2009 Quant of the Year, guides the reader through various modeling challenges, originating in actual trading/hedging issues.

   "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

 

  • Covers forward-start options, variance swaps, options on realized variance, timer options, VIX futures and options, and daily cliquets

 

  • Includes an in-depth study of the dynamics of the local volatility model, its carry P&L, and its delta

 

  • Surveys the uncertain volatility model and its usage

 

  • Discusses the parametrization of local-stochastic volatility and multi-asset stochastic volatility models

 

  • Characterizes the links between static and dynamics features of stochastic volatility models

 

  • Contains a wealth of unpublished results and insights