Uncertain Volatility Models - Theory and Application, w. CD-ROM
(Sprache: Englisch)
This book introduces Uncertain Volatility Models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain Volatility Models place subjective constraints such as...
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Klappentext zu „Uncertain Volatility Models - Theory and Application, w. CD-ROM “
This book introduces Uncertain Volatility Models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain Volatility Models place subjective constraints such as upper and lower bounds on volatility and evaluate option portfolios under worst- and best-case scenarios. This book is for graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The accompanying CD contains the source code of a C++ implementation of the algorithms presented in the book.
This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.
Inhaltsverzeichnis zu „Uncertain Volatility Models - Theory and Application, w. CD-ROM “
1 IntroductionI Computational Finance: Theory
2 Notation and Basic Definitions
3 Continuous Time Finance
4 Scenario-Based Evaluation and Uncertainty
II Algorithms for Uncertain Volatility Models
5 A Lattice Framework
6 Algorithms for Vanilla Options
7 Algorithms for Barrier Options
8 Algorithms for American Options
9 Exotic Volatility Scenarios
III Object-Oriented Implementation
10 The Architecture of Mtg
11 The Class Hierarchy of MtgLib-External
12 The Class Hierarchy of MtgLib-Internal
13 Extensions for Monte-Carlo Pricing and Calibration
- A The Network Application MtgClt/MtgSvr
- B The Scripting Language MtgScript
- C Mathematica Extensions
- References
Bibliographische Angaben
- Autor: Robert Buff
- 2002, 244 Seiten, Maße: 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer
- ISBN-10: 3540426574
- ISBN-13: 9783540426578
Sprache:
Englisch
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