Fourier transform methods in finance

Fourier transform methods in finance

by Cherubini, Umberto

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 / Umberto Cherubini [and others].

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:©2010.

Publication Statements

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

The Physical Object

  • Description:1 online resource (xii, 242 pages) : : illustrations

Edition Identifiers

  • ISBN:9781119207825, 1119207827, 9780470688229, 047068822X, 0470684925, 9780470684924, 1282483137, 9781282483132, 9786612483134, 661248313X
  • oclc:ocn593239932
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.63/2042

Table of Contents

Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index.

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Subjects

Analyse de Fourier BUSINESS & ECONOMICS -- Investments & S… 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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