Name: uncertain volatility models - theory and application(cd rom)
Price: 59.53 GBP
Availability: InStock
Author: r. buff
ISBN: 9783540426578

portada uncertain volatility models - theory and application(cd rom)

Type

Physical Book

Author

r. buff

Pages

230

ISBN13

9783540426578

Synopsis "uncertain volatility models - theory and application(cd rom)"

This text 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 volume 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.