標題: Titlebook: Applications of Fourier Transform to Smile Modeling; Theory and Implement Jianwei Zhu Book 2010Latest edition Springer-Verlag Berlin Heidel [打印本頁] 作者: 相似 時間: 2025-3-21 18:28
書目名稱Applications of Fourier Transform to Smile Modeling影響因子(影響力)
書目名稱Applications of Fourier Transform to Smile Modeling影響因子(影響力)學(xué)科排名
書目名稱Applications of Fourier Transform to Smile Modeling網(wǎng)絡(luò)公開度
書目名稱Applications of Fourier Transform to Smile Modeling網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Applications of Fourier Transform to Smile Modeling被引頻次
書目名稱Applications of Fourier Transform to Smile Modeling被引頻次學(xué)科排名
書目名稱Applications of Fourier Transform to Smile Modeling年度引用
書目名稱Applications of Fourier Transform to Smile Modeling年度引用學(xué)科排名
書目名稱Applications of Fourier Transform to Smile Modeling讀者反饋
書目名稱Applications of Fourier Transform to Smile Modeling讀者反饋學(xué)科排名
作者: NUDGE 時間: 2025-3-21 22:12 作者: lavish 時間: 2025-3-22 03:08
Applications of Fourier Transform to Smile Modeling978-3-642-01808-4Series ISSN 1616-0533 Series E-ISSN 2195-0687 作者: 冒號 時間: 2025-3-22 08:07
Marian Brezina,Jonathan Hu,Ray Tuminaro and begin with the next chapter directly. A Brownian motion is an elemental building-block in modeling the dynamics of stock returns, and correspondingly the geometric Brownian motion as an exponential function of Brownian motion is the simplest and most popular process for stock prices, on which t作者: nullify 時間: 2025-3-22 10:09
Marian Brezina,Jonathan Hu,Ray Tuminarock price is analytically unknown. To express (quasi-) closed-form exercise probabilities and valuation formula, characteristic functions of the underlying stock returns (logarithms) are proven to be not only a powerful and convenient tool to achieve analytical tractability, but also a large accommod作者: AND 時間: 2025-3-22 13:27 作者: ironic 時間: 2025-3-22 20:57
Marian Brezina,Jonathan Hu,Ray Tuminarostic volatility models is crucial for a sound performance of the pricing engine and the model calibration, and includes some different aspects: the numerical integration of (inverse) Fourier transform, the computation of functions of complex number, especially the logarithm of complex number, the ca作者: 多嘴 時間: 2025-3-22 23:54 作者: 駁船 時間: 2025-3-23 04:57
https://doi.org/10.1007/978-0-387-09766-4a based on a stock price process generated by a mixture of a Brownian motion and a Poisson process. This mixed process is also called the jump-diffusion process. The requirement for a jump component in a stock price process is intuitive, and supported by the big crashes in stock markets: The Black M作者: 軟弱 時間: 2025-3-23 08:38
https://doi.org/10.1007/978-0-387-09766-4 be regarded as two special cases of Lévy process, and have only finite activity in a finite time interval. In this chapter, we only consider Lévy processes with infinity activity in a finite time interval. With respect to jump event modeling in finance, compound Poisson jumps discussed in Chapter 7作者: cylinder 時間: 2025-3-23 10:32
AMD Opteron Processor Barcelona We have generally two approaches to integrating various stochastic factors: the modular approach and the time-change approach. While the modular approach has a simple, clear and transparent structure, and is also designed for practical implementations, the approach based on time-change is more tech作者: 柱廊 時間: 2025-3-23 17:26 作者: Frisky 時間: 2025-3-23 18:32
https://doi.org/10.1007/978-0-387-09766-4icing model for interest rate derivatives. Since LMM is based on a series of lognormal dynamics, the methods for building up the smile models, particularly with stochastic volatilities, can be adopted from the previous chapters. After a brief introduction to interest derivative markets in Section 11作者: Intervention 時間: 2025-3-24 01:10 作者: Silent-Ischemia 時間: 2025-3-24 04:06 作者: Abrade 時間: 2025-3-24 08:00 作者: incite 時間: 2025-3-24 11:31
1616-0533 managers to refer to the inconsistences of quoted implied volatilities in ?nancial markets, or more mat- matically, to the leptokurtic distributions of ?nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative ?nance. Since more than one decad作者: needle 時間: 2025-3-24 16:59 作者: 葡萄糖 時間: 2025-3-24 20:03 作者: SIT 時間: 2025-3-25 00:08 作者: gnarled 時間: 2025-3-25 03:52 作者: Vertebra 時間: 2025-3-25 08:50
Encyclopedia of Parallel ComputingEuropean-style options, and are traded in over-the-counter (OTC) markets. Recently, this situation has somehow changed. The American Stock Exchange trades quanto options while the New York Mercantile Exchange provides spread options.作者: depreciate 時間: 2025-3-25 15:41
Numerical Issues of Stochastic Volatility Models,al literature. Here we present a comprehensive and compact treatment of these numerical issues from the point of view of practitioners. The discussion on the efficient simulations of stochastic volatility models is left in the next chapter.作者: considerable 時間: 2025-3-25 17:44 作者: Nerve-Block 時間: 2025-3-25 22:53
Exotic Options with Stochastic Volatilities,European-style options, and are traded in over-the-counter (OTC) markets. Recently, this situation has somehow changed. The American Stock Exchange trades quanto options while the New York Mercantile Exchange provides spread options.作者: ordain 時間: 2025-3-26 02:38
Book 2010Latest editionto refer to the inconsistences of quoted implied volatilities in ?nancial markets, or more mat- matically, to the leptokurtic distributions of ?nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative ?nance. Since more than one decade, Fourier作者: 山崩 時間: 2025-3-26 06:49 作者: insert 時間: 2025-3-26 10:01
Characteristic Functions in Option Pricing,ck price is analytically unknown. To express (quasi-) closed-form exercise probabilities and valuation formula, characteristic functions of the underlying stock returns (logarithms) are proven to be not only a powerful and convenient tool to achieve analytical tractability, but also a large accommod作者: 提升 時間: 2025-3-26 13:20 作者: GIST 時間: 2025-3-26 18:25
Numerical Issues of Stochastic Volatility Models,stic volatility models is crucial for a sound performance of the pricing engine and the model calibration, and includes some different aspects: the numerical integration of (inverse) Fourier transform, the computation of functions of complex number, especially the logarithm of complex number, the ca作者: FER 時間: 2025-3-27 00:58
Stochastic Interest Models,s can be incorporated into a pricing formula for European-style stock options. To this end, we focus on only three typical one-factor short rate models, namely, the Vasicek model (1977), the CIR model (1985) and the Longstaff model (1989), which are again specified by a mean-reverting Ornstein-Uhlen作者: 宮殿般 時間: 2025-3-27 04:37
Poisson Jumps,a based on a stock price process generated by a mixture of a Brownian motion and a Poisson process. This mixed process is also called the jump-diffusion process. The requirement for a jump component in a stock price process is intuitive, and supported by the big crashes in stock markets: The Black M作者: jealousy 時間: 2025-3-27 07:46
,Lévy Jumps, be regarded as two special cases of Lévy process, and have only finite activity in a finite time interval. In this chapter, we only consider Lévy processes with infinity activity in a finite time interval. With respect to jump event modeling in finance, compound Poisson jumps discussed in Chapter 7作者: nonplus 時間: 2025-3-27 12:16 作者: 我說不重要 時間: 2025-3-27 17:09
Exotic Options with Stochastic Volatilities,., path-dependent options). There is a long list of financial derivatives belonging to this class: barrier options, Asian options, correlation options, spread options, exchange options, clique options etc. Most of them are generated in the course of the expansion of the financial derivative business作者: osculate 時間: 2025-3-27 21:39
Libor Market Model with Stochastic Volatilities,icing model for interest rate derivatives. Since LMM is based on a series of lognormal dynamics, the methods for building up the smile models, particularly with stochastic volatilities, can be adopted from the previous chapters. After a brief introduction to interest derivative markets in Section 11作者: Alcove 時間: 2025-3-28 01:12 作者: 增減字母法 時間: 2025-3-28 04:13 作者: 外形 時間: 2025-3-28 09:03
Jesper Larsson Tr?ff,Robert A. vande Geijnrate modeling are two ideal candidate processes for stochastic volatilities. Heston (1993) specified stochastic variances with a mean-reverting square root process and derived a pioneering pricing formula for options by using CFs. Stochastic volatility model with a mean-reverting Ornstein-Uhlenbeck 作者: 顯微鏡 時間: 2025-3-28 11:48 作者: 一加就噴出 時間: 2025-3-28 17:26
https://doi.org/10.1007/978-0-387-09766-4 distributions. Here, we consider three representative jump models that are distinguished from each other solely by the distributions of jump sizes, they are the simple deterministic jumps, the log-normal jumps and the Pareto jumps. Additionally, we will show that Kou’s jump model (2002) with weight作者: 你正派 時間: 2025-3-28 21:17 作者: 巫婆 時間: 2025-3-28 22:58
https://doi.org/10.1007/978-0-387-09766-4volatility LMMs are discussed. All of these five models apply characteristic functions or moment-generating functions for pricing caps and swaptions to different extent. While CFs do not find significant applications in the models of Andersen and Brotherton-Ratcliffe (2001), and Piterbarg (2003), th作者: Transfusion 時間: 2025-3-29 03:44 作者: TRUST 時間: 2025-3-29 09:28 作者: 拾落穗 時間: 2025-3-29 11:35
Stochastic Volatility Models,rate modeling are two ideal candidate processes for stochastic volatilities. Heston (1993) specified stochastic variances with a mean-reverting square root process and derived a pioneering pricing formula for options by using CFs. Stochastic volatility model with a mean-reverting Ornstein-Uhlenbeck 作者: MAZE 時間: 2025-3-29 16:31
