Buff R., Uncertain Volatility Models - Theory and Application

формат djvu
размер 2.09 МБ
добавлен 14 сентября 2011 г.

Berlin, Springer Verlag, 2002. - 243p.

Книга состоит из предисловия, трёх частей и приложений. В предисловии делается постановка задачи оценивания опционов, включая экзотические, в условиях неопределённой волатильности. В первой части рассматриваются математические модели волатильности и методы вычислительных финансов. Во второй - алгоритмы оценивания опционов различных типов. В третьей рассматривается реализация алгоритмов на языке С++. Приложения содержат необходимые сведения из математики и программирования.
Для студентов и аспирантов специальностей, связанных с разработкой финансового программного обеспечения и программистов алгоритмов финансовой математики.

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