Fourier transform methods in finance /

"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; arb...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Cherubini, Umberto
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester ; [Hoboken, N.J.] : John Wiley & Sons, ©2010.
Temas:
Options (Finance) > Mathematical models.
Securities > Prices > Mathematical models.
Finance > Mathematical models.
Fourier analysis.
Fourier Analysis
Options (Finances) > Modèles mathématiques.
Valeurs mobilières > Prix > Modèles mathématiques.
Finances > Modèles mathématiques.
Analyse de Fourier.
BUSINESS & ECONOMICS > Investments & Securities > General.
Finance > Mathematical models
Fourier analysis
Options (Finance) > Mathematical models
Securities > Prices > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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