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...
Guardat en:
| Autor principal: | |
|---|---|
| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2010.
Cham : Springer Nature |
| Col·lecció: | Springer Finance
|
| Accés en línia: | 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 |
Taula de continguts:
- 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.