Applications of Fourier Transform to Smile Modeling - Theory and Implementation (Paperback, Softcover reprint of hardcover 2nd ed. 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."

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Springer Finance
Release date:	March 2012
First published:	March 2012
Authors:	Jianwei Zhu
Dimensions:	235 x 155 x 18mm (L x W x T)
Format:	Paperback
Pages:	330
Edition:	Softcover reprint of hardcover 2nd ed. 2010
ISBN-13:	978-3-642-26094-0
Categories:	Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Business mathematics & systems > General Books > Money & Finance > General
LSN:	3-642-26094-2
Barcode:	9783642260940

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!