Download Applications of Fourier Transform to Smile Modeling by Jianwei Zhu PDF

By Jianwei Zhu

The sound modeling of the smile impact is a vital factor in quantitative finance as, for greater than a decade, the Fourier rework has proven itself because the best instrument for deriving closed-form alternative pricing formulation in a variety of version periods. This ebook describes the functions of the Fourier remodel to the modeling of volatility smile, through a finished therapy of choice valuation in a unified framework, overlaying stochastic volatilities and rates of interest, Poisson and Levy jumps, together with quite a few asset sessions equivalent to fairness, FX and rates of interest, in addition to quite a few numberical examples and prototype programming codes. Readers will reap the benefits of this e-book not just through gaining an summary of the complicated conception and the mammoth diversity of literature on those issues, but in addition through receiving first-hand suggestions at the useful functions and implementations of the idea. The ebook is aimed toward monetary engineers, threat managers, graduate scholars and researchers.

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