Applications of Fourier Transform to Smile Modeling 2025 pdf epub mobi 电子书

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发表于2025-01-08

Applications of Fourier Transform to Smile Modeling 2025 pdf epub mobi 电子书

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本书161页后面再求f1(Φ)的时候、大家有没有注意到期望的符号和指数函数交换了！！！即 E[e^X]=e^(EX) 可是由于詹森不等式、这个明显是不成立的啊。而且在165页同样也交换了。求大神给予解答、再此感谢。。。。最后我想说这本书在波动率这块用傅立叶变换求解...

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出版者:Springer

作者:Jianwei Zhu

出品人:

页数:330

译者:

出版时间:2009-10-29

价格:USD 139.00

装帧:Hardcover

isbn号码:9783642018077

丛书系列:springer finance

图书标签: springer_finance zhengzai reading Finance

Applications of Fourier Transform to Smile Modeling 2025 pdf epub mobi 电子书图书描述

The sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricing formulas in various model classes. This book describes the applications of the Fourier transform to the modeling of volatility smile, followed by a comprehensive treatment of option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this book not only by gaining an overview of the advanced theory and the vast range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed at financial engineers, risk managers, graduate students and researchers.

Applications of Fourier Transform to Smile Modeling 2025 pdf epub mobi 电子书

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