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Applications of Fourier Transform to Smile Modeling

Theory and Implementation
BuchGebunden
330 Seiten
Englisch
Springererschienen am16.10.20092nd ed.
This text describes the applications of the Fourier transform to the modeling of volatility smile. It comprehensively treats option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, and more.mehr
Verfügbare Formate
BuchGebunden
EUR106,99
BuchKartoniert, Paperback
EUR106,99
E-BookPDF1 - PDF WatermarkE-Book
EUR96,29

Produkt

KlappentextThis text describes the applications of the Fourier transform to the modeling of volatility smile. It comprehensively treats option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, and more.
Details
ISBN/GTIN978-3-642-01807-7
ProduktartBuch
EinbandartGebunden
Verlag
Erscheinungsjahr2009
Erscheinungsdatum16.10.2009
Auflage2nd ed.
ReiheSpringer Finance
Seiten330 Seiten
SpracheEnglisch
IllustrationenXV, 330 p. 7 illus.
Artikel-Nr.11027002
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
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.mehr
Kritik
From the reviews of the second edition:
"The book is intended to present a comprehensive treatment of the Fourier transform in option pricing ... . It is aimed to graduate students and researchers looking for a compact introduction to smile modeling with Fourier transform, or to financial engineers and risk managers working on option pricing and willing to implement models with characteristic functions. ... a self-contained style, presenting the basic concepts of option pricing theory and the advanced techniques of asset modeling, especially with respect to Fourier transform and characteristic functions." (Iulian Stoleriu, Zentralblatt MATH, Vol. 1182, 2010)mehr

Schlagworte