Fourier transform methods in finance

Fourier transform methods in finance

by Cherubini, Umberto

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Title Statements

  • Full title :Fourier transform methods in finance / Umberto Cherubini ... [et al.]

Edition Statements

  • Publication Date:2010

Publication Statements

  • Publisher(s):John Wiley & Sons
  • Place of Publication:Chichester
  • Language:eng
  • Publication Date:2010

The Physical Object

  • Description:xii, 242 s. : : illustrations

Edition Identifiers

  • ISBN:9780470994009, 0470994002
  • oclc:ocn759717446
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.63 2042

Table of Contents

Table of Contents Preface -- 1 Fourier Pricing Methods -- 1.1 Introduction -- 1.2 A general representation of option prices -- 1.3 The dynamics of asset prices -- 1.4 A generalized function approach to Fourier pricing -- 1.5 Hilbert transform -- 1.6 Pricing via FFT. 1.7 Related literature -- 2 The Dynamics of Asset Prices -- 2.1 Introduction -- 2.2 Efficient markets and Lévy processes -- 2.3 Construction of Lévy markets -- 2.4 Properties of Lévy processes -- 3 Non Stationary Market Dynamics -- 3.1 Non-stationary processes -- 3.2 Time changes -- 3.3 Simulation of Lévy processes -- 4 Arbitrage Free Pricing -- 4.1 Introduction -- 4.2 Equilibrium and arbitrage -- 4.3 Arbitrage-free pricing -- 4.4 Derivatives -- 4.5 Lévy martingale Processes -- 4.6 Lévy markets -- 5 Generalized Functions -- 5.1 Introduction -- 5.2 The vector space of test functions -- 5.3 Distributions -- 5.4 The calculus of distributions -- 5.5 Slow growth distributions -- 5.6 Function convolution -- 5.7 Distributional convolution -- 5.8 The convolution of distributions in S. 6 The Fourier Transform -- 6.1 Introduction -- 6.2 The Fourier transformation of functions -- 6.3 Fourier transform and option pricing -- 6.4 Fo…

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Subjects

Analyse de Fourier Finance -- mathematical models Finances -- Modèles mathématiques Fourier analysis Options (Finance) -- Mathematical models Options (Finances) -- Modèles mathémati… Securities -- Prices Valeurs mobilières -- Prix

Writers

Cherubini, Umberto

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