Articles liés à Uncertain Volatility Models - Theory and Application
Synopsis
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; within those constraints, extremal prices are computed. This book studies two types of constraints: volatility bands with upper and lower bounds, and shock scenarios with short periods of extreme volatility, but unkown timing. Uncertain Volatility Models are nonlinear. Worst- and best-case scenarios applied to isolated option positions do not always lead to the same extremal volatility. When applied to an options portfolio, a diversification effect reduces the overall exposure to volatility fluctuations within the subjective constraints. This book explores algorithmic issues that arise due to nonlinearity. Because Uncertain Volatility Models must be applied to option portfolios as a whole, they are difficult to implement on a computer if the portfolio contains barrier or American options. The accompanying CD contains a C++ implementation of Uncertain Volatility Models in source code. The software prices portfolios of vanilla, barrier and American options. 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.
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Présentation de l'éditeur
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; within those constraints, extremal prices are computed. This book studies two types of constraints: volatility bands with upper and lower bounds, and shock scenarios with short periods of extreme volatility, but unkown timing. Uncertain Volatility Models are nonlinear. Worst- and best-case scenarios applied to isolated option positions do not always lead to the same extremal volatility. When applied to an options portfolio, a diversification effect reduces the overall exposure to volatility fluctuations within the subjective constraints. This book explores algorithmic issues that arise due to nonlinearity. Because Uncertain Volatility Models must be applied to option portfolios as a whole, they are difficult to implement on a computer if the portfolio contains barrier or American options. The accompanying CD contains a C++ implementation of Uncertain Volatility Models in source code. The software prices portfolios of vanilla, barrier and American options. 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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
- ÉditeurSpringer
- Date d'édition2013
- ISBN 10 3540426574
- ISBN 13 9783540426578
- ReliureBroché
- Langueanglais
- Nombre de pages256
- Coordonnées du fabricantnon disponible
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Uncertain Volatility Models: Theory and Application
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Springer, 2002
ISBN 10 : 3540426574
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Uncertain Volatility Models Theory and Application
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Uncertain Volatility Models Theory and Application
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Uncertain Volatility Models Theory and Application
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Uncertain Volatility Models - Theory and Application
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Springer, 2002
ISBN 10 : 3540426574
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Uncertain Volatility Models
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ISBN 10 : 3540426574
ISBN 13 : 9783540426578
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. No other book does thisThis 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. N° de réf. du vendeur 4889991
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Uncertain Volatility Models : Theory and Application
Edité par
Springer Berlin Heidelberg, 2002
ISBN 10 : 3540426574
ISBN 13 : 9783540426578
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Taschenbuch
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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - Many introductory books on mathematical finance also outline some com puter algorithms. My goal is to contribute a closer look at algorithmic issues that arise from complex forms of the underlying pricing models-issues many practitioners need to solve sooner or later in their careers. This book takes such a close look at uncertain volatility models, an exten sion of Black-Scholes theory.It discusses applications to exotic option portfo lios with barriers and early exercise features. It describes an object-oriented C++ solution, included in source code on the accompanying CD. Practitioners and students who need to build analytic software libraries may benefit from reading this book and studying the software. The book focuses on a family of mathematical models, while in the field one encounters greater variation in instrument properties. In both cases mathematical and financial knowledge must be complemented by good programming skills to produce the best system. Analytic software needs design-a central message of the later chapters of this book. This book has come out of my Ph.D. thesis. I am very grateful to my academic advisor, Marco Avellaneda of New York University, who taught me mathematical finance and uncertain volatility. Computational finance be came exciting for me because Marco encouraged an algorithmic approach to uncertain volatility. I thank Afshin Bayrooti, Vladimir Finkelstein, and Antonio Paras for giving valuable feedback. Antonio is the co-inventor of the original uncertain volatility model, A-UVM. Richard Holmes has found a crucial bug in an early implementation of the software. N° de réf. du vendeur 9783540426578
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