Uncertain volatility models : theory and application
Author(s)
Bibliographic Information
Uncertain volatility models : theory and application
（Springer finance, . Lecture notes）
Springer, c2002
Available at / 25 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
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Note
Based on the author's thesis (Ph.D.)
System requirements: Windows 98 or higher; 128 MB RAM minimum; Java
Includes bibliographical references (p. [233]-236) and index
Description and Table of Contents
Description
This is one of the only books to describe 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, which is bundled with software, 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.
Table of Contents
1 Introduction.- I Computational Finance: Theory.- 2 Notation and Basic Definitions.- 3 Continuous Time Finance.- 4 Scenario-Based Evaluation and Uncertainty.- II Algorithms for Uncertain Volatility Models.- 5 A Lattice Framework.- 6 Algorithms for Vanilla Options.- 7 Algorithms for Barrier Options.- 8 Algorithms for American Options.- 9 Exotic Volatility Scenarios.- III Object-Oriented Implementation.- 10 The Architecture of Mtg.- 11 The Class Hierarchy of MtgLib-External.- 12 The Class Hierarchy of MtgLib-Internal.- 13 Extensions for Monte-Carlo Pricing and Calibration.- A The Network Application MtgClt/MtgSvr.- B The Scripting Language MtgScript.- C Mathematica Extensions.- References.
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