Jianwei Zhu

Applications of Fourier Transform to Smile Modeling (eBook, PDF)

Theory and Implementation

• Format: PDF

Produktbeschreibung

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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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 330
• Erscheinungstermin: 3. Oktober 2009
• Englisch
• ISBN-13: 9783642018084
• Artikelnr.: 37371871

Inhaltsangabe

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.

Rezensionen

From the reviews of the second edition: "The book is intended to present a comprehensive treatment of the Fourier transform in option pricing ... . It is aimed to graduate students and researchers looking for a compact introduction to smile modeling with Fourier transform, or to financial engineers and risk managers working on option pricing and willing to implement models with characteristic functions. ... a self-contained style, presenting the basic concepts of option pricing theory and the advanced techniques of asset modeling, especially with respect to Fourier transform and characteristic functions." (Iulian Stoleriu, Zentralblatt MATH, Vol. 1182, 2010)