Uncertain Volatility Models -- Theory and Application /
This book introduces Uncertain Volatility Models in mathematical finance. Uncertain Volatility Models evaluate option portfolios under worst- and best-case scenarios when the volatility coefficient of the pricing model cannot be determined exactly. The user defines subjective volatility constraints;...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2002.
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| Series: | Springer finance.
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| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- 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. Algorithms for Minimum-entropy Calibration
- Object-Oriented Implementation: The Architecture of MtgLib. Towards Web-based Applications.