Modular Pricing of Options
An Application of Fourier Analysis
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 program…
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Produktdetails
- ISBN: 978-3-642-01807-7
- EAN: 9783642018077
- Produktnummer: 4575356
- Verlag: Springer-Verlag GmbH
- Sprache: Englisch
- Erscheinungsjahr: 2009
- Seitenangabe: 330 S.
- Masse: H24.1 cm x B16.0 cm x D2.3 cm 688 g
- Auflage: 2nd ed
- Gewicht: 688
3 weitere Werke von Jianwei Zhu:
Applications of Fourier Transform to Smile Modeling
An Application of Fourier Analysis
An Application of Fourier Analysis
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