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Fourier Transform Methods In Finance (Cód: 9237483)

Cherubini,Umberto; Lunga,Giovanni Della; Rossi,Pietro; Mulinacci, Sabrina; Della Lunga,Giovanni

John Wiley & Sons

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Descrição

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. Readers will learn how to: compute the Hilbert transform of the pricing kernel under a Fast Fourier Transform (FFT) technique characterise the price dynamics on a market in terms of the characteristic function, allowing for both diffusive processes and jumps apply the concept of characteristic function to non-stationary processes, in particular in the presence of stochastic volatility and more generally time change techniques perform a change of measure on the characteristic function in order to make the price process a martingale recover a general representation of the pricing kernel of the economy in terms of Hilbert transform using the theory of generalised functions apply the pricing formula to the most famous pricing models, with stochastic volatility and jumps. Junior and senior practitioners alike will benefit from this quick reference guide to state of the art models and market calibration techniques. Not only will it enable them to write an algorithm for option pricing using the most advanced models, calibrate a pricing model on options data, and extract the implied probability distribution in market data, they will also understand the most advanced models and techniques and discover how these techniques have been adjusted for applications in finance. ISBN 978-0-470-99400-9 Fourier transform methods in finance 'Fourier Transform Methods in Finance 'is rigorous, instructive, and loaded with useful examples. The authors have synthesized everything from the necessary underlying elements of complex analysis up through methods for derivative pricing. Almost anyone doing research or business applications in this area will want their own copy.'' --Professor Darrell Duffie, Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University ''This excellent book is a selection of ready-to-use Fourier transform methods applied to option pricing and calibration, a technique that is indispensable today across different asset classes in a non Gaussian world.'' --Helyette Geman, Professor of Finance, Birkbeck College, University of London & ESCP Europe

Características

Produto sob encomenda Sim
Marca John Wiley & Sons
Cód. Barras 9780470994009
Altura 24.38 cm
I.S.B.N. 9780470994009
Profundidade 2.29 cm
Referência 009768607
Acabamento Capa dura
Ano da edição 2010
Idioma Inglês
Número de Páginas 256
Peso 0.61 Kg
Largura 17.02 cm
AutorCherubini,Umberto; Lunga,Giovanni Della; Rossi,Pietro; Mulinacci, Sabrina; Della Lunga,Giovanni

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