Pricing options using multifactor stochastic volatility models

Accurate option pricing has been a main concern for financial quantitative practitioners and academics since the introduction of such instruments. The Black and Scholes option pricing formula is a cornerstone in the derivatives world; nonetheless it is based on a set of unrealistic assumptions and does not explain volatility patterns. Pricing options using multifactor stochastic volatility models illustrates step by step why volatility has to be considered a variable that moves in a random fashion and why multifactor stochastic volatility models have become the most popular among practitioners. The book also presents a practical framework for building multifactor stochastic volatility models. Matlab codes are provided in the appendix.

Autorentext

Alessio Pieri currently works at a leading independent financial advisory firm Ondra Partners in London. Previously he had experiences in volatility trading and other quantitative roles at top banks in London, Paris and Sydney. He holds a BSc in Financial Markets from Università di Siena and a MSc in Finance from Bocconi University in Milan