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Applications of Fourier Transform to Smile Modeling
Jianwei Zhu
€ 129.35
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Description for Applications of Fourier Transform to Smile Modeling
Hardback. 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. Series: Springer Finance. Num Pages: 345 pages, 7 black & white illustrations, biography. BIC Classification: KFF; PBWH. Category: (P) Professional & Vocational. Dimension: 244 x 165 x 24. Weight in Grams: 652.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2009
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
345
Condition
New
Series
Springer Finance
Number of Pages
330
Place of Publication
Berlin, Germany
ISBN
9783642018077
SKU
V9783642018077
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Applications of Fourier Transform to Smile Modeling
From the reviews of the second edition: “The book is intended to present a comprehensive treatment of the Fourier transform in option pricing … . It is aimed to graduate students and researchers looking for a compact introduction to smile modeling with Fourier transform, or to financial engineers and risk managers working on option pricing and willing to implement ... Read more