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Uncertain Volatility Models - Theory and Application with CDROM (Springer Finance)

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Uncertain Volatility Models - Theory and Application with CDROM (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

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.

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.

Product Details

ISBN:
9783540426578
Author:
Buff, Robert
Publisher:
Springer
Author:
Buff, R.
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Applied
Subject:
Investments & Securities
Subject:
Investments & Securities - Futures
Subject:
Mathematical models
Subject:
Investments & Securities - General
Subject:
Quantitative Finance
Subject:
Uncertain volatility models
Subject:
arbitrage pricing theory
Subject:
Computational finance
Subject:
Mathematical finance
Subject:
Mathematics-Applied
Subject:
Game Theory
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Copyright:
Edition Description:
Softcover reprint of the original 1st ed. 2002
Series:
Springer Finance / Springer Finance Lecture Notes
Publication Date:
20020528
Binding:
TRADE PAPER
Language:
English
Pages:
256
Dimensions:
235 x 155 mm 372 gr

Related Subjects

» Business » Investing » Futures
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» Science and Mathematics » Mathematics » Analysis General
» Science and Mathematics » Mathematics » Applied
» Science and Mathematics » Mathematics » Econometrics
» Science and Mathematics » Mathematics » General
» Science and Mathematics » Physics » General

Uncertain Volatility Models - Theory and Application with CDROM (Springer Finance) Used Trade Paper
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Product details 256 pages Springer-Verlag - English 9783540426578 Reviews:
"Synopsis" by , 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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