Читайте только на Литрес

The book cannot be downloaded as a file, but can be read in our app or online on the website.

Основной контент книги Fourier Transform Methods in Finance
Text PDF

Volume 258 pages

0+

Fourier Transform Methods in Finance

authors
Umberto Cherubini,
sabrina mulinacci
Читайте только на Литрес

The book cannot be downloaded as a file, but can be read in our app or online on the website.

$175.20

About the book

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 of asset prices; non stationary market dynamics; arbitrage free pricing; generalized functions and the Fourier transform method. Readers will learn how to: compute the Hilbert transform of the pricing kernel under a Fast Fourier Transform (FFT) technique characterise the price dynamics on a market in terms of the characteristic function, allowing for both diffusive processes and jumps apply the concept of characteristic function to non-stationary processes, in particular in the presence of stochastic volatility and more generally time change techniques perform a change of measure on the characteristic function in order to make the price process a martingale recover a general representation of the pricing kernel of the economy in terms of Hilbert transform using the theory of generalised functions apply the pricing formula to the most famous pricing models, with stochastic volatility and jumps. Junior and senior practitioners alike will benefit from this quick reference guide to state of the art models and market calibration techniques. Not only will it enable them to write an algorithm for option pricing using the most advanced models, calibrate a pricing model on options data, and extract the implied probability distribution in market data, they will also understand the most advanced models and techniques and discover how these techniques have been adjusted for applications in finance. ISBN 978-0-470-99400-9

Genres and tags

Log in, to rate the book and leave a review
Book Umberto Cherubini, Sabrina Mulinacci et al. «Fourier Transform Methods in Finance» — read online on the website. Leave comments and reviews, vote for your favorites.
Age restriction:
0+
Release date on Litres:
21 August 2019
Volume:
258 p.
ISBN:
9780470688229
Total size:
4.5 МБ
Total number of pages:
258
Copyright holder:
John Wiley & Sons Limited
Text, audio format available
Average rating 4,7 based on 253 ratings
Audio
Average rating 4,2 based on 736 ratings
Text, audio format available
Average rating 4,9 based on 53 ratings
Text
Average rating 4,9 based on 2618 ratings
Audio
Average rating 4,8 based on 67 ratings
Text, audio format available
Average rating 4,7 based on 790 ratings
Text PDF
Average rating 0 based on 0 ratings
Text PDF
Average rating 0 based on 0 ratings