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Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]



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Titolo: Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] Visualizza cluster
Pubblicazione: Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010
Descrizione fisica: 1 online resource (258 p.)
Disciplina: 332.01515723
Soggetto topico: Options (Finance) - Mathematical models
Securities - Prices - Mathematical models
Finance - Mathematical models
Fourier analysis
Altri autori: CherubiniUmberto  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references and index.
Nota di contenuto: 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; Index
Sommario/riassunto: In 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
Titolo autorizzato: Fourier transform methods in finance  Visualizza cluster
ISBN: 0-470-68492-5
1-119-20782-7
1-282-48313-7
9786612483134
0-470-68822-X
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910139507903321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Serie: Wiley finance series.