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" Uncertain volatility models : "


Document Type : BL
Record Number : 1029785
Doc. No : b784155
Main Entry : Buff, Robert
Title & Author : Uncertain volatility models : : theory and application /\ Robert Buff.
Publication Statement : Berlin ;London ;New York :: Springer,, [2002]
: , ©2002
Series Statement : Springer finance
Page. NO : xi, 243 pages :: illustrations ;; 24 cm ++ computer optical disc (4 1/2 in.).
ISBN : 3540426574
: : 9783540426578
Contents : 1. Introduction -- pt. I. Computational finance: theory. 2. Notation and basic definitions. 3. Continuous time finance. 4. Scenario-based evaluation and uncertainty -- pt. II. Algorithms for uncertain volatility models. 5. A lattice framework. 6. Algorithms for vanila options. 7. Algorithms for barrier options. 8. Algorithms for American options. 9. Exotic volatility scenarios -- pt. 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.
Subject : Derivative securities-- Prices-- Mathematical models.
Subject : Exotic options (Finance)
Subject : Finance-- Mathematical models.
Subject : Risk assessment-- Mathematical models.
Subject : Black-Scholes-Modell
Subject : C++
Subject : Derivat
Subject : Derivative securities-- Prices-- Mathematical models.
Subject : Exotic options (Finance)
Subject : Finance-- Mathematical models.
Subject : Incertitude (Économie politique)
Subject : Modèle mathématique.
Subject : Option exotique (Finances)
Subject : Optionspreis
Subject : Risk assessment-- Mathematical models.
Subject : Risque financier.
Subject : Volatilität
Subject : Algoritmen.
Subject : Évaluation des risques.
Subject : Onzekerheid.
Subject : Portfolio-analyse.
Subject : Volatilité (Finances)
Dewey Classification : ‭332.6450151‬
LC Classification : ‭HG174‬‭.B83 2002‬
NLM classification : ‭31.80‬bcl
copyhttps://lib.clisel.com/site/catalogue/1029785
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