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

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

4.85 68,487 ratings · 1,657 reviews
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Overview: 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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Published February 15, 2016
ISBN 26619663
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Lorenzo Bergomi
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Lorenzo Bergomi is a writer and avid reader based in the Pacific Northwest. Before pursuing writing full-time, they spent over a decade working in education. When not working on their next book, Lorenzo Bergomi can usually be found hiking with their dog or trying out new coffee shops in their neighborhood.

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Matthew Harris
Matthew Harris March 23, 2025
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
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Donna Phillips May 25, 2025
Masterpiece from start to finish. 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. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
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Ryan Williams June 15, 2024
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Donald Williams December 02, 2024
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
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Nicholas Parker April 24, 2025
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James Nelson May 09, 2024
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Thomas Thomas March 22, 2024
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Joseph Harris April 30, 2024
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Susan Roberts February 14, 2025
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
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Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
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Amanda Clark October 17, 2024
Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
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Brian Jackson June 11, 2024
Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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Donald Martinez September 16, 2024
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Honestly one of the most premium reading experiences lately. 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 was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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A decent, if standard, experience. Certain acts were fascinating, while others felt like a slight endeavor to complete. Suitable if your reading queue is empty.
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A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. 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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An acceptable diversion. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perfectly average.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Mark Harris
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A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
William Wilson
William Wilson May 05, 2025
A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
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Rebecca Martin October 18, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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Such a rich narrative. 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 became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
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Emily Ramirez November 27, 2024
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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Cynthia Edwards November 18, 2025
Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Paul Martinez
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I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
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Karen Lopez April 09, 2024
A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
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Kevin Roberts August 03, 2024
An acceptable diversion. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perhaps more aligned with a different audience's tastes.
Edward Jackson
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Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
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I find myself somewhat conflicted. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perfectly average.
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A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Kenneth Thompson
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Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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Mary Lopez October 17, 2025
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Michael Walker
Michael Walker September 26, 2025
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Jennifer Evans
Jennifer Evans October 14, 2025
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Donna Clark
Donna Clark February 04, 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.
Joshua Cruz
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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.
Emily Sanchez
Emily Sanchez September 08, 2024
I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend.
Betty Roberts
Betty Roberts October 12, 2024
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 wonderful companion for a quiet weekend.
Emily Ramirez
Emily Ramirez October 11, 2025
It was adequate. It verged on repetitive in the second act. A more concise edit would have served it well. A fair 3 stars.
Rebecca Rodriguez
Rebecca Rodriguez November 10, 2025
I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
James Cruz
James Cruz October 21, 2024
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Joseph Harris
Joseph Harris August 25, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Sharon King
Sharon King March 09, 2025
A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
Rebecca Martin
Rebecca Martin July 23, 2025
A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author.
Amanda Perez
Amanda Perez September 09, 2025
Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
Paul Baker
Paul Baker July 28, 2025
It was adequate. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Perfectly average.
Jennifer Brown
Jennifer Brown May 05, 2025
A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
James Nguyen
James Nguyen March 06, 2024
I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Ryan Roberts
Ryan Roberts November 28, 2025
Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
Kenneth Johnson
Kenneth Johnson April 08, 2024
I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Donald Gonzalez
Donald Gonzalez July 19, 2024
A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
Michael Harris
Michael Harris February 18, 2024
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
Carol Gonzalez
Carol Gonzalez August 02, 2025
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Ashley Jones
Ashley Jones February 26, 2024
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.
Cynthia Taylor
Cynthia Taylor October 17, 2024
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
Kimberly Thomas
Kimberly Thomas February 19, 2024
Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
Michael Williams
Michael Williams April 09, 2025
A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me.
Ryan Scott
Ryan Scott April 03, 2024
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
George Wilson
George Wilson April 20, 2025
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
George Walker
George Walker May 22, 2025
Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Donald Clark
Donald Clark April 05, 2025
Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
Emily Lopez
Emily Lopez May 17, 2025
It was adequate. Certain acts were fascinating, while others felt like a slight endeavor to complete. A fair 3 stars.
Kenneth Thompson
Kenneth Thompson March 25, 2024
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.
Edward Smith
Edward Smith April 20, 2025
A decent, if standard, experience. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Unlikely to reread, but a reasonable expenditure of time.
Ryan Smith
Ryan Smith May 02, 2025
A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me.
Laura Rodriguez
Laura Rodriguez March 29, 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.
Kenneth Jackson
Kenneth Jackson May 06, 2024
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.
Nicholas Edwards
Nicholas Edwards November 28, 2025
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
Lisa Rodriguez
Lisa Rodriguez April 13, 2024
A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Laura Moore
Laura Moore February 12, 2025
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.
George  Davis
George Davis May 23, 2025
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Robert  Parker
Robert Parker January 20, 2025
Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
Mark Scott
Mark Scott December 20, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
James Nguyen
James Nguyen April 16, 2024
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
Brian Lopez
Brian Lopez January 31, 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.
Betty Ramirez
Betty Ramirez June 29, 2024
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
Laura Thomas
Laura Thomas May 20, 2024
A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Charles Scott
Charles Scott June 03, 2025
A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
Sharon Green
Sharon Green December 25, 2024
An acceptable diversion. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes.
Steven Collins
Steven Collins June 15, 2025
It was adequate. It verged on repetitive in the second act. A more concise edit would have served it well. Unlikely to reread, but a reasonable expenditure of time.
Donna Smith
Donna Smith February 07, 2025
An acceptable diversion. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perhaps more aligned with a different audience's tastes.
Cynthia Flores
Cynthia Flores February 28, 2024
A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
Edward Jackson
Edward Jackson June 25, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
Ryan Scott
Ryan Scott July 02, 2025
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Matthew Allen
Matthew Allen June 09, 2025
Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
Donna Harris
Donna Harris July 23, 2025
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
Charles Scott
Charles Scott December 04, 2024
I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. Quite impressive overall.
Christopher Allen
Christopher Allen June 10, 2024
A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Ashley Hernandez
Ashley Hernandez February 27, 2025
Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
Nancy Torres
Nancy Torres July 31, 2025
Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
Michelle Gonzalez
Michelle Gonzalez January 17, 2024
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.
Karen Jackson
Karen Jackson July 13, 2024
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.
Gary Lee
Gary Lee May 25, 2024
A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend.
William White
William White May 07, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Deborah Scott
Deborah Scott March 17, 2024
I find myself somewhat conflicted. It verged on repetitive in the second act. A more concise edit would have served it well. A fair 3 stars.
Melissa Green
Melissa Green October 07, 2025
A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
Edward Smith
Edward Smith December 10, 2024
Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Matthew Reyes
Matthew Reyes March 27, 2025
A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Robert Johnson
Robert Johnson February 12, 2025
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Ryan Williams
Ryan Williams March 17, 2025
Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
Carol Nelson
Carol Nelson September 30, 2024
I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A solid 4 stars from me.
Steven Roberts
Steven Roberts October 05, 2024
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Sarah Clark
Sarah Clark March 28, 2025
I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend.
William Wilson
William Wilson March 07, 2024
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
Dorothy Wright
Dorothy Wright September 01, 2025
Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers.
David Johnson
David Johnson September 25, 2025
I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
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