Stochastic Volatility Models: Heston, SABR, and Applications in Options Pricing
Stochastic Volatility Models: Heston, SABR, and Applications in Options Pricing: A Practical Guide to Advanced Volatility Modeling, Calibration, and Market Applications for Traders and Analysts by Vincent Bisette, Danny Munrow
English | September 7, 2025 | ISBN: N/A | ASIN: B0FQ4HYH8C | 784 pages | EPUB | 0.66 Mb
English | September 7, 2025 | ISBN: N/A | ASIN: B0FQ4HYH8C | 784 pages | EPUB | 0.66 Mb
Reactive Publishing
Volatility is the beating heart of modern options pricing, and mastering it is essential for traders, analysts, and quantitative finance professionals. Stochastic Volatility Models: Heston, SABR, and Applications in Options Pricing provides a rigorous yet practical exploration of two of the most influential models in quantitative finance.
This book takes you step by step through the mathematical foundations, parameter calibration, and implementation techniques behind the Heston and SABR models. With real-world examples, detailed derivations, and applied case studies, you’ll learn how to:
- Understand the dynamics of stochastic volatility in equity, FX, and fixed-income markets.
- Apply Heston and SABR models to price complex derivatives and exotic options.
- Calibrate models to live market data for accuracy and performance.
- Compare stochastic approaches with the Black–Scholes framework to highlight key advantages.
- Build practical implementations in trading and risk management contexts.