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Economics/Finances Applications of Fourier Transform to Smile Modeling: Theory and Implementation
Posted on 2010-03-16
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More Jianwei Zhu "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 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. >>> Download many interesting free eBooks HERE <<<
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Related Articles
 | Science/Engineering The Fourier Transform & Its Applications Ronald N. Bracewell "The Fourier Transform & Its Applications"McGraw-Hill Science/Engineering/Math | Number Of Pages: 640 | 1999-06-08 | ISBN: 0073039381 | DJVU | 14 MbThis text is designed for use in a senior undergraduate or graduate lev ... |
 | Science/Engineering The Discrete Fourier Transform: Theory, Algorithms and Applications The Discrete Fourier Transform: Theory, Algorithms and ApplicationsWorld Scientific Publishing Company | ISBN: 9810245211 |2001-04 | PDF | 374 pages | 6 Mb This book provides comprehensive coverage of practical Fourier analysis. It develops ... |
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 | Science/Engineering Fast Fourier Transform and Its Applications E. Brigham, "Fast Fourier Transform and Its Applications" Prentice Hall | 1988 | ISBN: 0133075052 | 416 pages | Djvu | 3,8 MB The Fast Fourier Transform (FFT) is a mathematical method widely used in signal processing. This book focuses o ... |
| The Discrete Fourier Transform: Theory, Algorithms and Applications (Repost) The Discrete Fourier Transform: Theory, Algorithms and Applications By D. SundararajanPublisher: World Scientific Publishing Company 2001 | 374 Pages | ISBN: 9810245211 | PDF | 11 MBThis book provides comprehensive coverage of practica ... |
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