Applications of Fourier Transform to Smile Modeling : Theory and Implementation
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...
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| Autor principal: | |
|---|---|
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado em: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2010.
Cham : Springer Nature |
| Colecção: | Springer Finance
|
| Acesso em linha: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Applications of Fourier Transform to Smile Modeling, Texte imprimé, 9783642018077 • Applications of Fourier Transform to Smile Modeling, Texte imprimé, 9783642018091 • Applications of Fourier Transform to Smile Modeling, Texte imprimé, 9783642260940 |
| LEADER | 03409nam a22003377a 4500 | ||
|---|---|---|---|
| 001 | 943116 | ||
| 008 | 110106s2010 xx ||| |||| 00| 0 eng d | ||
| 009 | PPN149070985 | ||
| 020 | |a 9783642018084 | ||
| 041 | 0 | |a eng | |
| 082 | |a 330.0151 | ||
| 100 | 1 | |a Zhu, Jianwei. | |
| 245 | 1 | 0 | |a Applications of Fourier Transform to Smile Modeling : |b Theory and Implementation |c by Jianwei Zhu. |
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c 2010. | ||
| 490 | 0 | |a Springer Finance |x 2195-0687 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 0 | |a 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. | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. chttps://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. | ||
| 776 | 0 | |t Applications of Fourier Transform to Smile Modeling |b Texte imprimé |z 9783642018077 | |
| 776 | 0 | |t Applications of Fourier Transform to Smile Modeling |b Texte imprimé |z 9783642018091 | |
| 776 | 0 | |t Applications of Fourier Transform to Smile Modeling |b Texte imprimé |z 9783642260940 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-3-642-01808-4 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-JF4DFTKX-V |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:74782889X |u https://ezproxy.univ-orleans.fr/login?url=https://dx.doi.org/10.1007/978-3-642-01808-4 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:750846194 |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-3-642-01808-4 |z Accès INSA CVL | |
| 997 | |0 943116 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||