Uncertain Volatility Models - Theory and Application
Uncertain Volatility Models - Theory and ApplicationUncertain Volatility Models - Theory and Application
By Robert Buff
Publisher:Springer
Number Of Pages:243
Publication Date:2002-05-28
Sales Rank:1418567
ISBN / ASIN:3540426574
EAN:9783540426578
Binding:Paperback
Manufacturer:Springer
Studio:Springer
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Book Description:
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.
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