Download PDF by Jianwei Zhu: Applications of Fourier Transform to Smile Modeling

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 rework has confirmed itself because the best device for deriving closed-form choice pricing formulation in numerous version periods. This ebook describes the functions of the Fourier remodel to the modeling of volatility smile, through a entire therapy of choice valuation in a unified framework, protecting stochastic volatilities and rates of interest, Poisson and Levy jumps, together with a variety of asset periods similar to fairness, FX and rates of interest, in addition to a variety of numberical examples and prototype programming codes. Readers will make the most of this ebook not just by way of gaining an outline of the complicated idea and the mammoth variety of literature on those issues, but in addition by means of receiving first-hand suggestions at the sensible functions and implementations of the idea. The publication is geared toward monetary engineers, danger 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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