Fourier transform methods in finance / Umberto Cherubini ... [et al.].

Format:

Book

Contributor:

Cherubini, Umberto.

Series:

Wiley finance series.

The Wiley Finance Series ; v.524

Language:

English

Subjects (All):

Options (Finance)--Mathematical models.

Options (Finance).

Securities--Prices--Mathematical models.

Securities.

Finance--Mathematical models.

Finance.

Fourier analysis.

Physical Description:

1 online resource (258 p.)

Edition:

1st ed.

Place of Publication:

Chichester ; [Hoboken, NJ] : John Wiley & Sons, c2010.

Language Note:

English

Summary:

In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes. Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods; the dynamics

Contents:

Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612483134

9780470684924

0470684925

9781119207825

1119207827

9781282483132

1282483137

9780470688229

047068822X

OCLC:

593239932