Stochastic Volatility Modeling

In this book, author Lorenzo Bergomipresents readers with an examination of the methods used to employ stochastic volatility to address a variety of issues that come from the modeling of derivatives. The author covers local volatility, forward-start options, stochastic volatility, variance, swaps, the Heston model of one-factor dynamics, forward variance models, stochastic volatility models, the linking of static and dynamic properties in stochastic volatility models, and a wide variety of other related subjects. The author is with Soci<’e>t<’e> G<’e>n<’e>rale in Paris, France. Annotation c2016 Ringgold, Inc., Portland, OR (protoview.com)

Lorenzo Bergomi heads the quantitative research group at Societe Generale, 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.