Uncertain Volatility Models
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Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media
This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barri
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Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of d
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We mainly study the asymptotic behavior of the worst case scenario option prices as the volatility interval in an uncertain volatility model (UVM) degenerates t
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We examine, both from an analytical and numerical viewpoint, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Ko
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