Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging los

Robust design—that is, managing design uncertainties such as model uncertainty or parametric uncertainty—is the often unpleasant issue crucial in much multi

Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging los

This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed

This book deals with algorithms for the solution of linear systems of algebraic equations with large-scale sparse matrices, with a focus on problems that are ob