2009, ISBN: 9783642018084

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 fo… Mehr…

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. eBook Jianwei Zhu 03.10.2009, Springer, Springer<

ISBN: 9783642018084

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 v… Mehr…

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.; PDF; Business,Finance and Law > Finance & accounting > Finance, Springer Berlin Heidelberg<

2009, ISBN: 9783642018084

Theory and Implementation, eBooks, eBook Download (PDF), Auflage, [PU: Springer-Verlag], [ED: 2], Springer-Verlag, 2009

2009, ISBN: 9783642018084

Theory and Implementation, eBooks, eBook Download (PDF), 2nd ed. 2010, [PU: Springer Berlin], Springer Berlin, 2009

2009, ISBN: 9783642018084

Theory and Implementation, [ED: 2], Auflage, eBook Download (PDF), eBooks, [PU: Springer-Verlag]