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010   $a9786612483134
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100   $a20091103d2010      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 00$aFourier transform methods in finance$b[electronic resource] /$fUmberto Cherubini ... [et al.]
210   $aChichester ;$a[Hoboken, NJ] $cJohn Wiley & Sons$dc2010
215   $a1 online resource (258 p.)
225 1 $aThe Wiley Finance Series ;$vv.524
300   $aDescription based upon print version of record.
311   $a0-470-99400-2 
320   $aIncludes bibliographical references and index.
327   $aFourier 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; Index
330   $aIn recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes.  Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods; the dynamics
410  0$aWiley finance series.
606   $aOptions (Finance)$xMathematical models
606   $aSecurities$xPrices$xMathematical models
606   $aFinance$xMathematical models
606   $aFourier analysis
615  0$aOptions (Finance)$xMathematical models.
615  0$aSecurities$xPrices$xMathematical models.
615  0$aFinance$xMathematical models.
615  0$aFourier analysis.
676   $a332.01515723
701   $aCherubini$b Umberto$0118857
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910139507903321
996   $aFourier transform methods in finance$92276988
997   $aUNINA