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Uncertain volatility models : theory and application

Uncertain volatility models : theory and application (5회 대출)

자료유형
단행본
개인저자
Buff, Robert.
서명 / 저자사항
Uncertain volatility models : theory and application / Robert Buff.
발행사항
Berlin ;   London ;   New York :   Springer-Verlag ,   2002.  
형태사항
243 p. : ill. ; 24 cm + 1 CD-ROM (4 1/2 in.).
총서사항
Springer finance
ISBN
3540426574
일반주제명
Risk assessment -- Mathematical models. Finance -- Mathematical models. Exotic options (Finance) Derivative securities -- Prices -- Mathematical models.
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245 1 0 ▼a Uncertain volatility models : ▼b theory and application / ▼c Robert Buff.
260 ▼a Berlin ; ▼a London ; ▼a New York : ▼b Springer-Verlag , ▼c 2002.
300 ▼a 243 p. : ▼b ill. ; ▼c 24 cm + ▼e 1 CD-ROM (4 1/2 in.).
490 1 ▼a Springer finance
650 0 ▼a Risk assessment ▼x Mathematical models.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Exotic options (Finance)
650 0 ▼a Derivative securities ▼x Prices ▼x Mathematical models.
830 0 ▼a Springer finance.
945 ▼a KLPA

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 332.6450151 B929u 등록번호 121196451 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

1 Introduction.- I Computational Finance: 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.


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