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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2010.
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| Edición: | 2nd ed. 2010. |
| Colección: | Springer Finance,
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| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- Option Valuation and the Volatility Smile
- Characteristic Functions in Option Pricing
- Stochastic Volatility Models
- Numerical Issues of Stochastic Volatility Models
- Simulating Stochastic Volatility Models
- Stochastic Interest Models
- Poisson Jumps
- Lévy Jumps
- Integrating Various Stochastic Factors
- Exotic Options with Stochastic Volatilities
- Libor Market Model with Stochastic Volatilities.