Titlebook: Applications of Fourier Transform to Smile Modeling; Theory and Implement Jianwei Zhu Book 2010Latest edition Springer-Verlag Berlin Heidel

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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.

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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.

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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.

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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

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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

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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