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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Main Author: Buff, Robert
Corporate Author: SpringerLink (Online service)
Format: eBook
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2002, 2002
Edition:1st ed. 2002
Series:Springer Finance Lecture Notes
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 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