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Pricing and hedging derivative securities in markets with uncertain volatilities

Submitted by cahn on 19 June, 2007 - 5:30pm

...a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values $ \sigma_{min} $ and $ \sigma_{max} $.... ...the "pricing" volatility is selected dynamically from the two extreme values $ \sigma_{min} $, $ \sigma_{max} $, according to the convexity of the value-function.....

Managing the Volatility Risk of Portfolios of Derivative Securities: The Lagrangian Uncertain Volatility Model

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Pricing and Hedging Derivative Securities in Markets with Uncertain Volatilities.pdf217.25 KB
Managing the Volatility Risk of Portfolios of Derivative Securities_The Lagrangian Uncertain Volatility Model.pdf480.45 KB
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Gamers' plague a pandemic lesson

Submitted by cahn on 3 May, 2009 - 11:22am

In the dungeons of Zul'Gurub, frequented by online game enthusiasts, a giant winged serpent called Hakkar the Soulflayer may offer important clues to epidemiologists trying to predict the impact of a pandemic.

In September 2005, a plague called "corrupted blood" caused mayhem in the hugely popular online game World of Warcraft. What happened next illustrates the kind of issues policymakers will have to grapple with now that the swine flu outbreak has spread beyond Mexico.

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