Uncertain Volatility Models

Theory and Application

Robert Buff

244 pages, parution le 23/04/2002

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Résumé

This book describes 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 is for 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.

Contents

Introduction

Computational Finance : Theory

Notation and Basic Definitions
Continuous Time Finance
Scenario-Based Evaluation and Uncertainty

Algorithms for Uncertain Volatility Models

A Lattice Framework
Algorithms for Vanilla Options
Algorithms for Barrier Options
Algorithms for American Options
Exotic Volatility Scenarios

Object-Oriented Implementation

The Architecture of Mtg
The Class Hierarchy of MtgLib-External
The Class Hierarchy of MtgLib-Internal
Extensions for Monte-Carlo Pricing and Calibration

References
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Robert Buff
Parution	23/04/2002
Nb. de pages	244
Format	15,5 x 23,5
Couverture	Broché
Poids	409g
Intérieur	Noir et Blanc
EAN13	9783540426578