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Fourier Transform Methods in Finance

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 of asset prices; non stationary market dynamics; arbitrage free pricing; generalized functions and the Fourier transform method.

Từ khóa: pricing models, dynamics of asset prices, non stationary market dynamics, arbitrage free pricing, methods in finance, fourier transform methods in finance

258 p tieuhoa 20/01/2013 341 2

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