Uncertain Volatility Models Theory and Application

Uncertain Volatility Models place subjective constraints such as upper and lower bounds on volatility and evaluate option portfolios under worst- and best-case scenarios. 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. The accompanying CD contains the source code of a C++ implementation of the algorithms presented in the book.From the reviews: MATHEMATICAL REVIEWS "The book bridges theory and real-world problems in a clear and pragmatic fashion. It can be useful both for academics and professionals in the financial community." "This book, which comes out of the authors Ph.D. thesis, introduces uncertain volatility models. The formal results are illustrated by many empirical examples. The C++ source code is available on an accompanying CD. The book bridges theory and real-world problems in a clear and pragmatic fashion. It can be useful both for academics and for professionals in the financial community." (Damir Filipovic, Mathematical Reviews, 2003 i) "The book is devoted to the study of uncertain volatility models that evaluate option portfolios . The author travels in this book the entire road from innovative mathematical finance to a working software system . Practitioners and students who need to build analytic software libraries may benefit from reading this book and studying the software. This book is also for graduate students and researchers who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options." (Anatoliy Swishchuk, Zentralblatt MATH, Vol. 1004 (4), 2003)This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios involving vanilla options, barrier options and American options. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst-and best-case scenarios. This book, which is bundled with software, is aimed at students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options.