ENGLISH

Applications of Fourier Transform to Smile Modeling: Theory and Implementation

By Jianwei Zhu (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2010
ISBN
3642018076, 9783642018077
DOI
10.1007/978-3-642-01808-4
Language
english
Format
PDF
Filesize
3 MB (3233351 bytes)
Series
Springer Finance
Edition
2
Pages
330\338
Topic
Education
Time added
2011-06-04 13:46:07
Finance /Banking; Quantitative Finance

Description

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.

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