Home | Amazing | Today | Tags | Publishers | Years | Account | Search 
Fourier Transform Methods in Finance


In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes.

Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods; the dynamics of asset prices; non stationary market dynamics; arbitrage free pricing; generalized functions and the Fourier transform method.

Readers will learn how to:

  • compute the Hilbert transform of the pricing kernel under a Fast Fourier Transform (FFT) technique
  • characterise the price dynamics on a market in terms of the characteristic function, allowing for both diffusive processes and jumps
  • apply the concept of characteristic function to non-stationary processes, in particular in the presence of stochastic volatility and more generally time change techniques
  • perform a change of measure on the characteristic function in order to make the price process a martingale
  • recover a general representation of the pricing kernel of the economy in terms of Hilbert transform using the theory of generalised functions
  • apply the pricing formula to the most famous pricing models, with stochastic volatility and jumps.

Junior and senior practitioners alike will benefit from this quick reference guide to state of the art models and market calibration techniques. Not only will it enable them to write an algorithm for option pricing using the most advanced models, calibrate a pricing model on options data, and extract the implied probability distribution in market data, they will also understand the most advanced models and techniques and discover how these techniques have been adjusted for applications in finance.

ISBN 978-0-470-99400-9

(HTML tags aren't allowed.)

Windows 8 For Seniors For Dummies
Windows 8 For Seniors For Dummies

Help beginners of any age get started with Windows 8 with this easy-to-understand guide!
In easy-to-follow steps, this fun and friendly guide shows you clearly how to use Windows 8. Featuring a large font that makes the book easier to read and magnified screen shots to help make the subject matter less intimidating, author Mark

Leadership in Dangerous Situations: A Handbook for the Armed Forces, Emergency Services and First Responders
Leadership in Dangerous Situations: A Handbook for the Armed Forces, Emergency Services and First Responders

Offering the wisdom of practitioners from the military, law enforcement, fire and rescue, as well as prominent scholars this guide integrates theory and research with practical experience to help the reader prepare for the unique psychological, social, and physical challenges of leading in dangerous contexts. Whether a young soldier preparing...

Flash Cartoon Animation: Learn from the Pros
Flash Cartoon Animation: Learn from the Pros

You want to make an animated film. You've got the idea. You've got Macromedia Flash. But where do you start? What's the best way to script your cartoon, how do you start animating with Flash, what do you really need to know in order to get your ideas out there to make you famous?

Who better to ask than two seasoned...

Professional C++
Professional C++

Master complex C++ programming with this helpful, in-depth resource

From game programming to major commercial software applications, C++ is the language of choice. It is also one of the most difficult programming languages to master. While most competing books are geared toward beginners, Professional C++, Third...

Computer Applications in Pharmaceutical Research and Development (Wiley Series in Drug Discovery and Development)
Computer Applications in Pharmaceutical Research and Development (Wiley Series in Drug Discovery and Development)
A unique, holistic approach covering all functions and phases of pharmaceutical research and development

While there are a number of texts dedicated to individual aspects of pharmaceutical research and development, this unique contributed work takes a holistic and integrative approach to the use of computers in...

Magento Search Engine Optimization
Magento Search Engine Optimization

You've built a great online store and all you need now are customers. This is where this invaluable tutorial comes in. Specifically written for Magento users, it uncovers the deep secrets of successful Search Engine Optimization.


  • Optimize your store for search engines in other countries and...
©2019 LearnIT (support@pdfchm.net) - Privacy Policy