03186nam 2200673Ia 450 991013950790332120200520144314.00-470-68492-51-119-20782-71-282-48313-797866124831340-470-68822-X(CKB)2550000000006558(EBL)480426(OCoLC)593239932(SSID)ssj0000337855(PQKBManifestationID)11254799(PQKBTitleCode)TC0000337855(PQKBWorkID)10293560(PQKB)10856706(MiAaPQ)EBC480426(Au-PeEL)EBL480426(CaPaEBR)ebr10361108(CaONFJC)MIL248313(PPN)170220559(EXLCZ)99255000000000655820091103d2010 uy 0engur|n|---|||||txtccrFourier transform methods in finance[electronic resource] /Umberto Cherubini ... [et al.]Chichester ;[Hoboken, NJ] John Wiley & Sonsc20101 online resource (258 p.)The Wiley Finance Series ;v.524Description based upon print version of record.0-470-99400-2 Includes bibliographical references and index.Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; IndexIn recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes. 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 dynamicsWiley finance series.Options (Finance)Mathematical modelsSecuritiesPricesMathematical modelsFinanceMathematical modelsFourier analysisOptions (Finance)Mathematical models.SecuritiesPricesMathematical models.FinanceMathematical models.Fourier analysis.332.01515723Cherubini Umberto118857MiAaPQMiAaPQMiAaPQBOOK9910139507903321Fourier transform methods in finance2276988UNINA