Coverart for item
The Resource Applications of Fourier transform to smile modeling : theory and implementation, Jianwei Zhu

Applications of Fourier transform to smile modeling : theory and implementation, Jianwei Zhu

Label
Applications of Fourier transform to smile modeling : theory and implementation
Title
Applications of Fourier transform to smile modeling
Title remainder
theory and implementation
Statement of responsibility
Jianwei Zhu
Creator
Subject
Language
eng
Summary
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
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1970-
http://library.link/vocab/creatorName
Zhu, Jianwei
Dewey number
332.6
Illustrations
illustrations
Index
index present
Language note
English
LC call number
HG6024.A3
LC item number
Z495 2010
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Springer finance
http://library.link/vocab/subjectName
  • Options (Finance)
  • Fourier analysis
  • BUSINESS & ECONOMICS
  • Affaires
  • Science économique
  • Economie de l'entreprise
  • Fourier analysis
  • Options (Finance)
  • Harmonische Analyse
  • Optionspreistheorie
Label
Applications of Fourier transform to smile modeling : theory and implementation, Jianwei Zhu
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 319-326) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
mixed
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Option Valuation and the Volatility Smile -- Characteristic Functions in Option Pricing -- Stochastic Volatility Models -- Numerical Issues of Stochastic Volatility Models -- Simulating Stochastic Volatility Models -- Stochastic Interest Models -- Poisson Jumps -- Lévy Jumps -- Integrating Various Stochastic Factors -- Exotic Options with Stochastic Volatilities -- Libor Market Model with Stochastic Volatilities
Control code
663096236
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (xv, 330 pages)
Form of item
online
Isbn
9783642018084
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-01808-4
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
978-3-642-01807-7
Publisher number
12683741
Specific material designation
remote
System control number
(OCoLC)663096236
Label
Applications of Fourier transform to smile modeling : theory and implementation, Jianwei Zhu
Publication
Bibliography note
Includes bibliographical references (pages 319-326) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
mixed
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Option Valuation and the Volatility Smile -- Characteristic Functions in Option Pricing -- Stochastic Volatility Models -- Numerical Issues of Stochastic Volatility Models -- Simulating Stochastic Volatility Models -- Stochastic Interest Models -- Poisson Jumps -- Lévy Jumps -- Integrating Various Stochastic Factors -- Exotic Options with Stochastic Volatilities -- Libor Market Model with Stochastic Volatilities
Control code
663096236
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (xv, 330 pages)
Form of item
online
Isbn
9783642018084
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-01808-4
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
978-3-642-01807-7
Publisher number
12683741
Specific material designation
remote
System control number
(OCoLC)663096236

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