Fourier transform methods in finance / Umberto Cherubini [and others]
"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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| Other Authors: | |
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| Format: | Book |
| Language: | English |
| Published: |
Chichester ; [Hoboken, N.J.] :
John Wiley & Sons,
©2010.
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| Subjects: |
| Summary: | "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; arbitrage free pricing; generalized functions and the Fourier transform method." "Junior and senior practitioners alike will benefit from this quick reference guide to state of the art models and market calibration techniques. Not only will it enable them to write an algorithm for option pricing using the most advanced models, calibrate a pricing model on options data, and extract the implied probability distribution in market data, they will also understand the most advanced models and techniques and discover how these techniques have been adjusted for applications in finance." --Book Jacket. |
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| Physical Description: | xii, 242 pages : illustrations ; 26 cm. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780470994009 (cloth) 0470994002 (cloth) |