| 期刊全稱 | Applications of Fourier Transform to Smile Modeling | | 期刊簡稱 | Theory and Implement | | 影響因子2023 | Jianwei Zhu | | 視頻video | http://file.papertrans.cn/160/159435/159435.mp4 | | 學(xué)科分類 | Springer Finance | | 圖書封面 |  | | 影響因子 | This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by ?nancial engineers and risk 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 decade, Fourier transform has triggered a technical revolution in option pricing theory. Almost all new developed option pricing models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding inverse transform to express - tion pricing formulas. The large accommodation of the Fourier transform allows for a very convenient modeling with a general class of stochastic processes and d- tributions. This book is then intended to present a comprehensive treatment of the Fourier transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy ′ jumps, including some asset classes such as equity, FX and interest | | Pindex | Book 2010Latest edition |
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