Applications of Fourier Transform to Smile Modeling by Jianwei Zhu

By Jianwei Zhu

The sound modeling of the smile influence is a crucial factor in quantitative finance as, for greater than a decade, the Fourier remodel has proven itself because the best device for deriving closed-form choice pricing formulation in a variety of version periods. This booklet describes the functions of the Fourier rework to the modeling of volatility smile, through a entire remedy of choice valuation in a unified framework, protecting stochastic volatilities and rates of interest, Poisson and Levy jumps, together with numerous asset sessions similar to fairness, FX and rates of interest, in addition to quite a few numberical examples and prototype programming codes. Readers will reap the benefits of this ebook not just by way of gaining an outline of the complicated concept and the significant variety of literature on those subject matters, but additionally via receiving first-hand suggestions at the functional functions and implementations of the idea. The booklet is aimed toward monetary engineers, chance managers, graduate scholars and researchers.

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