Koha online

Your cart is empty.
Normal view MARC view ISBD view

Applications of Fourier Transform to Smile Modeling [electronic resource] :Theory and Implementation / by Jianwei Zhu.

by Zhu, Jianwei [author.]; SpringerLink (Online service).
Material type: materialTypeLabelBookSeries: Springer Finance: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.Description: XV, 330 p. online resource.ISBN: 9783642018084.Subject(s): Economics | Finance | Banks and banking | Economics/Management Science | Finance /Banking | Quantitative FinanceDDC classification: 657.8333 | 658.152 Online resources: Click here to access online
Contents:
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.
In: Springer eBooksSummary: 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.
Tags from this library: No tags from this library for this title. Add tag(s)
Log in to add tags.
    average rating: 0.0 (0 votes)
Item type Current location Call number Status Date due Barcode
HG4501-6051 (Browse shelf) Available
HG1501-HG3550 (Browse shelf) Available
Long Loan MAIN LIBRARY
HG1-9999 (Browse shelf) Available

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.

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.

There are no comments for this item.

Log in to your account to post a comment.
@ Jomo Kenyatta University Of Agriculture and Technology Library

Powered by Koha