Uncertain Volatility Models - Theory and Application(Cd Rom)

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Buff, R.

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ISBN:9783540426578
Editorial: Springer Verlag
Fecha de la edición:2002
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Nº Pág.:230
Idiomas:Ingles

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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.