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

By Jianwei Zhu

The sound modeling of the smile impression is a vital factor in quantitative finance as, for greater than a decade, the Fourier rework has demonstrated itself because the best device for deriving closed-form alternative pricing formulation in numerous version sessions. This booklet describes the purposes of the Fourier rework to the modeling of volatility smile, by way of a accomplished therapy of choice valuation in a unified framework, protecting stochastic volatilities and rates of interest, Poisson and Levy jumps, together with numerous asset periods reminiscent of fairness, FX and rates of interest, in addition to quite a few numberical examples and prototype programming codes. Readers will make the most of this booklet not just via gaining an summary of the complicated concept and the big variety of literature on those issues, but additionally via receiving first-hand suggestions at the sensible functions and implementations of the idea. The e-book is aimed 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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