| 书目名称 | Uncertain Volatility Models |
| 副标题 | Theory and Applicati |
| 编辑 | Robert Buff |
| 视频video | |
| 概述 | No other book does this.Includes supplementary material: |
| 丛书名称 | Springer Finance |
| 图书封面 |  |
| 描述 | 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 |
| 出版日期 | Book 2002 |
| 关键词 | Mathematica; Uncertain volatility models; algorithms; arbitrage pricing theory; computational finance; ma |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-56323-2 |
| isbn_softcover | 978-3-540-42657-8 |
| isbn_ebook | 978-3-642-56323-2Series ISSN 1616-0533 Series E-ISSN 2195-0687 |
| issn_series | 1616-0533 |
| copyright | Springer-Verlag Berlin Heidelberg 2002 |
发表于 2025-3-21 19:10:31
