Applications of Fourier Transform to Smile Modeling - download pdf or read online

By Jianwei Zhu

The sound modeling of the smile impact is a crucial factor in quantitative finance as, for greater than a decade, the Fourier remodel has verified itself because the most productive device for deriving closed-form alternative pricing formulation in numerous version periods. This ebook describes the functions of the Fourier remodel to the modeling of volatility smile, through a complete remedy of choice valuation in a unified framework, protecting stochastic volatilities and rates of interest, Poisson and Levy jumps, together with a number of asset periods comparable to fairness, FX and rates of interest, in addition to numerous numberical examples and prototype programming codes. Readers will take advantage of this e-book not just by means of gaining an summary of the complex conception and the substantial diversity of literature on those subject matters, but additionally via receiving first-hand suggestions at the functional functions and implementations of the idea. The publication is geared toward monetary engineers, probability managers, graduate scholars and researchers.

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Applications of Fourier Transform to Smile Modeling (Springer Finance) by Jianwei Zhu

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