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Applications of Fourier Transform to Smile Modeling: Theory and Implementation - Couverture rigide
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Synopsis
This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by ?nancial engineers and risk managers to refer to the inconsistences of quoted implied volatilities in ?nancial markets, or more mat- matically, to the leptokurtic distributions of ?nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative ?nance. Since more than one decade, Fourier transform has triggered a technical revolution in option pricing theory. Almost all new developed option pricing models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding inverse transform to express - tion pricing formulas. The large accommodation of the Fourier transform allows for a very convenient modeling with a general class of stochastic processes and d- tributions. This book is then intended to present a comprehensive treatment of the Fourier transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy ´ jumps, including some asset classes such as equity, FX and interest rates, and providing numerical ex- ples and prototype programming codes. I hope that readers will bene't from this book not only by gaining an overview of the advanced theory and the vast large l- erature on these topics, but also by gaining a ?rst-hand feedback from the practice on the applications and implementations of the theory.
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Applications of Fourier Transform to Smile Modeling: Theory and Implementation (Springer Finance)
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Springer, 2009
ISBN 10 : 3642018076
ISBN 13 : 9783642018077
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Applications of Fourier Transform to Smile Modeling
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Springer Berlin Heidelberg Okt 2009, 2009
ISBN 10 : 3642018076
ISBN 13 : 9783642018077
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Couverture rigide
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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by nancial engineers and risk managers to refer to the inconsistences of quoted implied volatilities in nancial markets, or more mat- matically, to the leptokurtic distributions of nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative nance. Since more than one decade, Fourier transform has triggered a technical revolution in option pricing theory. Almost all new developed option pricing models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding inverse transform to express - tion pricing formulas. The large accommodation of the Fourier transform allows for a very convenient modeling with a general class of stochastic processes and d- tributions. This book is then intended to present a comprehensive treatment of the Fourier transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy jumps, including some asset classes such as equity, FX and interest rates, and providing numerical ex- ples and prototype programming codes. I hope that readers will bene t from this book not only by gaining an overview of the advanced theory and the vast large l- erature on these topics, but also by gaining a rst-hand feedback from the practice on the applications and implementations of the theory. 348 pp. Englisch. N° de réf. du vendeur 9783642018077
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Applications of Fourier Transform to Smile Modeling: Theory and Implementation (Springer Finance)
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Modular Pricing of Options
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Offers a comprehensive treatment of applications of Fourier transform in different areasContains numerical examples and prototype programming codesThis book addresses the applications of Fourier transform to smile modeling. Smile effect is. N° de réf. du vendeur 5043498
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Applications of Fourier Transform to Smile Modeling
Edité par
Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, DE, 2009
ISBN 10 : 3642018076
ISBN 13 : 9783642018077
Neuf
Couverture rigide
Vendeur : Rarewaves.com USA, London, LONDO, Royaume-Uni
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Hardback. Etat : New. Second Edition 2010. This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by ?nancial engineers and risk managers to refer to the inconsistences of quoted implied volatilities in ?nancial markets, or more mat- matically, to the leptokurtic distributions of ?nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative ?nance. Since more than one decade, Fourier transform has triggered a technical revolution in option pricing theory. Almost all new developed option pricing models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding inverse transform to express - tion pricing formulas. The large accommodation of the Fourier transform allows for a very convenient modeling with a general class of stochastic processes and d- tributions. This book is then intended to present a comprehensive treatment of the Fourier transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy ´ jumps, including some asset classes such as equity, FX and interest rates, and providing numerical ex- ples and prototype programming codes. I hope that readers will bene?t from this book not only by gaining an overview of the advanced theory and the vast large l- erature on these topics, but also by gaining a ?rst-hand feedback from the practice on the applications and implementations of the theory. N° de réf. du vendeur LU-9783642018077
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Applications of Fourier Transform to Smile Modeling
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Springer, Springer Vieweg Okt 2009, 2009
ISBN 10 : 3642018076
ISBN 13 : 9783642018077
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by nancial engineers and risk managers to refer to the inconsistences of quoted implied volatilities in nancial markets, or more mat- matically, to the leptokurtic distributions of nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative nance. Since more than one decade, Fourier transform has triggered a technical revolution in option pricing theory. Almost all new developed option pricing models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding inverse transform to express - tion pricing formulas. The large accommodation of the Fourier transform allows for a very convenient modeling with a general class of stochastic processes and d- tributions. This book is then intended to present a comprehensive treatment of the Fourier transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy ¿ jumps, including some asset classes such as equity, FX and interest rates, and providing numerical ex- ples and prototype programming codes. I hope that readers will bene t from this book not only by gaining an overview of the advanced theory and the vast large l- erature on these topics, but also by gaining a rst-hand feedback from the practice on the applications and implementations of the theory.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 348 pp. Englisch. N° de réf. du vendeur 9783642018077
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Applications of Fourier Transform to Smile Modeling: Theory and Implementation
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Springer-Verlag Berlin And Heidelberg Gmbh & Co. Kg, 2009
ISBN 10 : 3642018076
ISBN 13 : 9783642018077
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Applications of Fourier Transform to Smile Modeling : Theory and Implementation
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by nancial engineers and risk managers to refer to the inconsistences of quoted implied volatilities in nancial markets, or more mat- matically, to the leptokurtic distributions of nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative nance. Since more than one decade, Fourier transform has triggered a technical revolution in option pricing theory. Almost all new developed option pricing models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding inverse transform to express - tion pricing formulas. The large accommodation of the Fourier transform allows for a very convenient modeling with a general class of stochastic processes and d- tributions. This book is then intended to present a comprehensive treatment of the Fourier transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy jumps, including some asset classes such as equity, FX and interest rates, and providing numerical ex- ples and prototype programming codes. I hope that readers will bene t from this book not only by gaining an overview of the advanced theory and the vast large l- erature on these topics, but also by gaining a rst-hand feedback from the practice on the applications and implementations of the theory. N° de réf. du vendeur 9783642018077
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Applications of Fourier Transform to Smile Modeling
Edité par
Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, DE, 2009
ISBN 10 : 3642018076
ISBN 13 : 9783642018077
Neuf
Couverture rigide
Vendeur : Rarewaves.com UK, London, Royaume-Uni
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