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Applications of Fourier Transform to Smile Modeling: Theory and Implementation (Springer Finance)

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Applications of Fourier Transform to Smile Modeling: Theory and Implementation (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

The sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricing formulas in various model classes. This book describes the applications of the Fourier transform to the modeling of volatility smile,  followed by a comprehensive treatment of option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this book not only by gaining an overview of the advanced theory and the vast range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed at financial engineers, risk managers, graduate students and researchers.

Synopsis:

This text describes the applications of the Fourier transform to the modeling of volatility smile. It comprehensively treats option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, and more.

Table of Contents

Option Valuation and the Volatility Smile.- Characteristic Functions in Option Pricing.- Stochastic Volatility Models.- Numerical Issues of Stochastic Volatility Models.- Simulating Stochastic Volatility Models.- Stochastic Interest Models.- Poisson Jumps.- Lévy Jumps.- Integrating Various Stochastic Factors.- Exotic Options with Stochastic Volatilities.- Libor Market Model with Stochastic Volatilities.

Product Details

ISBN:
9783642018077
Author:
Zhu, Jianwei
Publisher:
Springer
Subject:
Finance
Subject:
Applied
Subject:
Business-Accounting and Finance
Subject:
Finanzierungstheorie
Subject:
Fourier analysis
Subject:
Fourieranalyse
Subject:
Option Pricing
Subject:
Optionspreise
Subject:
Random Jumps
Subject:
Stochastic interest rate
Subject:
Stochastic volatility
Subject:
Finance/Investment/Banking
Subject:
Quantitative Finance
Copyright:
Edition Description:
2nd ed. 2010
Series:
Springer Finance
Publication Date:
20091029
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
345
Dimensions:
235 x 155 mm 684 gr

Related Subjects

Business » Accounting and Finance
History and Social Science » Economics » General
Science and Mathematics » Mathematics » Applied

Applications of Fourier Transform to Smile Modeling: Theory and Implementation (Springer Finance) New Hardcover
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Product details 345 pages Springer - English 9783642018077 Reviews:
"Synopsis" by , This text describes the applications of the Fourier transform to the modeling of volatility smile. It comprehensively treats option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, and more.
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