Springer Finance

Applications of Fourier Transform to Smile Modeling

Theory and Implementation

Authors: Zhu, Jianwei

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Softcover $179.99
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About this book

The sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricing formulas in various model classes. This book describes the applications of the Fourier transform to the modeling of volatility smile,  followed by a comprehensive treatment of option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this book not only by gaining an overview of the advanced theory and the vast range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed at financial engineers, risk managers, graduate students and researchers.

Reviews

From the reviews of the second edition:

“The book is intended to present a comprehensive treatment of the Fourier transform in option pricing … . It is aimed to graduate students and researchers looking for a compact introduction to smile modeling with Fourier transform, or to financial engineers and risk managers working on option pricing and willing to implement models with characteristic functions. … a self-contained style, presenting the basic concepts of option pricing theory and the advanced techniques of asset modeling, especially with respect to Fourier transform and characteristic functions.” (Iulian Stoleriu, Zentralblatt MATH, Vol. 1182, 2010)

Table of contents (11 chapters)

Table of contents (11 chapters)

Buy this book

eBook $139.00
price for USA in USD (gross)
  • ISBN 978-3-642-01808-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.99
price for USA in USD
  • ISBN 978-3-642-01807-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.99
price for USA in USD
  • ISBN 978-3-642-26094-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Applications of Fourier Transform to Smile Modeling
Book Subtitle
Theory and Implementation
Authors
Series Title
Springer Finance
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-01808-4
DOI
10.1007/978-3-642-01808-4
Hardcover ISBN
978-3-642-01807-7
Softcover ISBN
978-3-642-26094-0
Series ISSN
1616-0533
Edition Number
2
Number of Pages
XV, 330
Number of Illustrations
7 b/w illustrations
Additional Information
Originally published as volume 493 in the series: Lecture Notes in Economics and Mathematical Systems
Topics