Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
(Visualizza in formato marc)
(Visualizza in BIBFRAME)
| Titolo: |
Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
|
| 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 |
| 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.