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Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)

Penned By Lorenzo Bergomi
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Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)

Penned By Lorenzo Bergomi
4.85 70,580 Ratings
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Editor's Note:
Written by a practitioner and well-known contributor to volatility modeling, this book addresses the practicalities of stochastic volatility modeling, mostly in an equity context. The author considers:"Which trading issues do we tackle with stochastic volatility? What breed of stochastic volatility is needed? How do we specify models and numerically solve their pricing equations? How do we use models and assess their relevance?"Starting with a thorough cross-examination of local volatility, the book gently takes readers through various modeling issues while keeping a permanent focus on the practical relevance of modeling choices. Knowledge is built incrementally with later sections often referencing early material. Only elementary familiarity with the models and concepts of mathematical finance is required.

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Released February 15, 2016
Identifier (ISBN) 26619663
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Lorenzo Bergomi
The Mind Behind the Work
Lorenzo Bergomi

Lorenzo Bergomi is the author of several novels. Originally from the East Coast, they now live in the Midwest with family. In addition to writing, Lorenzo Bergomi enjoys gardening, cooking, and reading way past bedtime. Their work often explores the complexities of everyday life and human relationships.

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Nicholas Thomas
Nicholas Thomas April 03, 2025
"A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend."
Christopher Young
Christopher Young November 16, 2025
"A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre."
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Cynthia Rivera
Cynthia Rivera June 29, 2025
"Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre."
Amanda  Davis
Amanda Davis May 14, 2024
"Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece."
Donald Walker
Donald Walker March 25, 2025
"I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me."
Betty Moore
Betty Moore September 02, 2024
"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars."
Jessica Miller
Jessica Miller August 24, 2024
"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel."
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Sandra Collins June 07, 2025
"A decent, if standard, experience. It verged on repetitive in the second act. A more concise edit would have served it well. Perhaps more aligned with a different audience's tastes."
Jacob Sanchez
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"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
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"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece."
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"Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
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Donna Collins
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"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem."
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Patricia Gonzalez
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"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author."
Donna Moore
Donna Moore March 17, 2025
"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
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"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
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"Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars."
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"Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel."
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"Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem."
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"Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
Michelle Clark
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"A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me."
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"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre."
Linda King
Linda King January 06, 2025
"Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me."
Deborah  Davis
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"Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me."
Susan  Davis
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"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author."
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"I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers."
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Mark Baker
Mark Baker November 16, 2024
"Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
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Kimberly Jackson
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Brian Lee
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"Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
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"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre."
Nicholas Thomas
Nicholas Thomas June 30, 2025
"I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
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"Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem."
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"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
Lisa Nguyen
Lisa Nguyen March 19, 2024
"Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
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"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem."
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"Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
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"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem."
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"Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading."
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"A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
Mark Reyes
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
Rebecca Miller
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"Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
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Donald Baker
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"A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. Quite impressive overall."
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"A decent, if standard, experience. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes."
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"Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars."
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"A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall."
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"A very strong entry. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend."
James Jackson
James Jackson March 14, 2025
"Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel."
Mark Flores
Mark Flores March 08, 2025
"Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend."
Mark Perez
Mark Perez November 02, 2024
"Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading."
Deborah Wright
Deborah Wright December 19, 2025
"I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
Karen Allen
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"A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me."
Brian Young
Brian Young April 14, 2024
"A decent, if standard, experience. Certain acts were fascinating, while others felt like a slight endeavor to complete. Unlikely to reread, but a reasonable expenditure of time."
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Deborah White March 02, 2024
"I find myself somewhat conflicted. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes."
Kenneth Cruz
Kenneth Cruz February 03, 2024
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Mary Hernandez
Mary Hernandez June 17, 2024
"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Cynthia Gonzalez
Cynthia Gonzalez June 19, 2025
"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem."
Barbara Martin
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"A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel."
Jessica Allen
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"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece."
Donna Anderson
Donna Anderson August 17, 2024
"A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem."
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"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
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"A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
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"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
Dorothy Sanchez
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
Nancy Roberts
Nancy Roberts August 29, 2025
"Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Deborah Johnson
Deborah Johnson September 02, 2024
"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece."
Mark Campbell
Mark Campbell December 20, 2024
"A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers."
Nancy Collins
Nancy Collins February 05, 2025
"I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
Cynthia Lee
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"Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre."
Donna Phillips
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"A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend."
Stephanie Jones
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"Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me."
Cynthia Perez
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"Not entirely to my refined tastes. It verged on repetitive in the second act. A more concise edit would have served it well. A fair 3 stars."
Barbara Collins
Barbara Collins December 26, 2024
"A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars."
Cynthia Torres
Cynthia Torres January 04, 2024
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Joshua Reyes
Joshua Reyes August 05, 2024
"I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author."
Andrew Reyes
Andrew Reyes December 20, 2025
"Not entirely to my refined tastes. Certain acts were fascinating, while others felt like a slight endeavor to complete. Suitable if your reading queue is empty."
Elizabeth Moore
Elizabeth Moore November 18, 2024
"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece."
Kimberly Perez
Kimberly Perez January 15, 2025
"I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall."
Amanda Ramirez
Amanda Ramirez September 19, 2024
"It was adequate. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. A fair 3 stars."
Michelle Lee
Michelle Lee June 11, 2024
"Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre."
Eric Phillips
Eric Phillips November 07, 2025
"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend."
Laura Baker
Laura Baker November 26, 2025
"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre."
Sharon Taylor
Sharon Taylor January 18, 2025
"I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
Kenneth Lee
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"Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre."
Rebecca Lee
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"A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers."
Mary Ramirez
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"Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre."
Laura Baker
Laura Baker August 03, 2025
"A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
Anthony Cruz
Anthony Cruz August 29, 2024
"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre."
Andrew Walker
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"Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers."
Andrew King
Andrew King June 12, 2025
"Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Andrew Rivera
Andrew Rivera October 13, 2025
"A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers."
Linda Martin
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"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
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