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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 68,355 ratings · 5,927 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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John Scott
John Scott October 07, 2024
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Gary Walker
Gary Walker June 15, 2025
A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
Susan Collins
Susan Collins December 10, 2024
An acceptable diversion. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Suitable if your reading queue is empty.
Steven Evans
Steven Evans June 04, 2025
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
Christopher Ramirez
Christopher Ramirez May 16, 2025
Not entirely to my refined tastes. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes.
Deborah Mitchell
Deborah Mitchell March 16, 2024
A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
Barbara Hall
Barbara Hall April 11, 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.
Elizabeth Anderson
Elizabeth Anderson November 03, 2024
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Linda Hall September 29, 2025
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Rebecca Taylor
Rebecca Taylor January 06, 2024
It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. A fair 3 stars.
Anthony Edwards
Anthony Edwards January 15, 2025
Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers.
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Donna Baker September 23, 2025
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Elizabeth Ramirez December 05, 2025
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Jessica Johnson January 23, 2024
I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
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Patricia Allen June 12, 2024
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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Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
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Elizabeth Anderson December 14, 2025
I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
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Ashley Lopez August 14, 2025
I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
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Richard White February 11, 2025
Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
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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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Patricia Hill October 30, 2024
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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Ryan Baker March 01, 2025
I was completely blown away. 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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I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
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A very strong entry. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
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A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
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A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
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Steven Anderson August 14, 2024
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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Not entirely to my refined tastes. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. A fair 3 stars.
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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.
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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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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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Christopher Lopez November 20, 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 effortless 5 stars.
Andrew Allen
Andrew Allen November 15, 2024
Not entirely to my refined tastes. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty.
Kenneth Flores
Kenneth Flores April 08, 2024
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
Kenneth Brown
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A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
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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.
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Linda Clark February 25, 2024
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.
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Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
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Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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I find myself somewhat conflicted. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty.
Daniel Phillips
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
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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 will undoubtedly revisit this masterpiece.
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Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
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Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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Joseph Collins January 28, 2024
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
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Edward Miller October 08, 2024
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Jessica Walker February 24, 2024
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.
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William Torres July 14, 2025
A profoundly satisfying read. 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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Ashley Torres December 26, 2024
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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Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
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Dorothy Allen April 21, 2025
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
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Thomas King August 05, 2025
Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me.
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Elizabeth Clark September 04, 2024
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Deborah Martinez
Deborah Martinez January 30, 2024
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Amanda Rodriguez
Amanda Rodriguez May 14, 2025
A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend.
Sarah White
Sarah White January 10, 2024
Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Joseph Miller
Joseph Miller May 05, 2025
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Andrew Williams
Andrew Williams July 27, 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.
Donna Miller
Donna Miller July 09, 2024
A very strong entry. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
Dorothy Hill
Dorothy Hill December 23, 2025
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.
Elizabeth White
Elizabeth White June 13, 2025
Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
Rebecca Scott
Rebecca Scott January 25, 2024
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
Paul Williams
Paul Williams December 07, 2025
A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel.
Susan Diaz
Susan Diaz February 21, 2025
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Gary White
Gary White November 23, 2024
Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Joshua Gonzalez
Joshua Gonzalez September 27, 2025
Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Carol Nelson
Carol Nelson March 14, 2024
An acceptable diversion. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Perfectly average.
Lisa Nguyen
Lisa Nguyen June 17, 2025
A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. Quite impressive overall.
Ryan Clark
Ryan Clark October 05, 2025
Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Rebecca Young
Rebecca Young October 13, 2024
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Donna Diaz
Donna Diaz July 09, 2025
It was adequate. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Perfectly average.
Susan Brown
Susan Brown September 07, 2025
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
Richard White
Richard White October 08, 2024
Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Cynthia Baker
Cynthia Baker September 13, 2024
I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel.
Patricia Gonzalez
Patricia Gonzalez June 22, 2025
A decent, if standard, experience. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty.
Mark Harris
Mark Harris January 11, 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.
Carol  Davis
Carol Davis August 10, 2025
I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Amanda Thompson
Amanda Thompson March 22, 2025
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Melissa King
Melissa King April 18, 2025
I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
Jacob Nguyen
Jacob Nguyen March 08, 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.
Amanda Young
Amanda Young July 18, 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.
Jessica Walker
Jessica Walker November 24, 2024
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.
Lisa Edwards
Lisa Edwards November 22, 2024
A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
William Roberts
William Roberts May 30, 2024
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Patricia Lee
Patricia Lee October 01, 2025
I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Michael Flores
Michael Flores June 22, 2024
A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall.
Carol Rodriguez
Carol Rodriguez January 01, 2024
A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
Richard Nguyen
Richard Nguyen May 23, 2024
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.
Kenneth Roberts
Kenneth Roberts April 12, 2025
A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers.
John Taylor
John Taylor May 31, 2024
A decent, if standard, experience. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Suitable if your reading queue is empty.
Joseph Baker
Joseph Baker April 01, 2025
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
Edward Miller
Edward Miller August 06, 2024
Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
Lisa Scott
Lisa Scott September 06, 2024
I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me.
Dorothy Roberts
Dorothy Roberts May 14, 2024
Not entirely to my refined tastes. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty.
John Reyes
John Reyes May 30, 2025
I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
Donna Diaz
Donna Diaz July 03, 2025
An acceptable diversion. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perfectly average.
William Jones
William Jones March 25, 2025
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Sharon Jackson
Sharon Jackson January 25, 2025
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
Betty Collins
Betty Collins June 20, 2024
Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
Donna Clark
Donna Clark September 15, 2025
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
Patricia Ramirez
Patricia Ramirez May 14, 2025
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
Jessica Allen
Jessica Allen December 16, 2025
Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
Nicholas Perez
Nicholas Perez June 02, 2024
Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Donna Diaz
Donna Diaz November 11, 2024
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
George Jones
George Jones May 25, 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.
William Sanchez
William Sanchez March 07, 2024
Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Sharon Garcia
Sharon Garcia January 10, 2025
A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
Linda Hall
Linda Hall February 17, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Dorothy Campbell
Dorothy Campbell March 19, 2025
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Kenneth Brown
Kenneth Brown March 01, 2025
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.
James Smith
James Smith November 04, 2025
Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Paul Williams
Paul Williams April 08, 2025
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
Dorothy Anderson
Dorothy Anderson December 17, 2024
Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Melissa Martinez
Melissa Martinez February 23, 2025
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Jennifer Miller
Jennifer Miller June 10, 2025
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Mary Taylor
Mary Taylor May 09, 2024
I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
Betty Collins
Betty Collins November 20, 2025
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.
Gary Reyes
Gary Reyes February 23, 2025
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
James Young
James Young August 15, 2024
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Donna Johnson
Donna Johnson December 31, 2024
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.
Gary Anderson
Gary Anderson June 04, 2025
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Brian Wright
Brian Wright March 27, 2025
Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
Joseph Evans
Joseph Evans September 25, 2025
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
John Phillips
John Phillips November 07, 2024
A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Elizabeth Ramirez
Elizabeth Ramirez July 01, 2024
Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
Deborah Mitchell
Deborah Mitchell August 27, 2024
Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Brian Wright
Brian Wright December 30, 2025
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
Michael Moore
Michael Moore January 06, 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.
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