Fourier Transform Methods in Finance

Fourier Transform Methods in Finance

by Cherubini, Umberto Della Lunga, Giovanni Mulinacci, Sabrina Rossi, Pietro

Type Book
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"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." "Junior and senior practitioners alike will benefit from this quick reference guide to state of the art models and market cali…

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Title Statements

  • Full title :Fourier Transform Methods in Finance

Summary

"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." "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."--Jacket.

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Edition Statements

  • Publication Date:2009

Publication Statements

  • Publisher(s):John Wiley & Sons
  • Place of Publication:New York, NY
  • Language:eng
  • Publication Date:2009

Notes

Lizenzpflichtig

The Physical Object

  • Description:Online-Ressource.

Edition Identifiers

  • ISBN:9780470684924, 0470684925, 0470994002, 9780470994009, 9781119207825, 1119207827, 9780470688229, 047068822X
  • oclc:ocn838270521
  • LC Classification:HG6024.A3
  • Dewey Decimal:650

Subjects

(Produktform)Electronic book text (VLB-Produktgruppen)TN000 (VLB-WN)9783: Nonbooks, PBS / Wirtschaf… Analyse de Fourier BUSINESS et ECONOMICS -- Investments et… Finance -- mathematical models Finances -- Modèles mathématiques Fourier analysis Kapitalanlage Options (Finance) -- Mathematical models Options (Finances) -- Modèles mathémati… Securities -- Prices Valeurs mobilières -- Prix

Writers

Cherubini, Umberto Della Lunga, Giovanni Mulinacci, Sabrina Rossi, Pietro

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