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EnglishIn 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 assets prices, non stationary market dynamics, arbitrage free pricing, generalized functions and their application to Fourier transform.
| Titolo: | Fourier Transform Methods in Finance |
| Autore/i: | CHERUBINI, UMBERTO; G. Della Lunga; MULINACCI, SABRINA; P. Rossi |
| Autore/i Unibo: | |
| Anno: | 2010 |
| Numero di pagine: | 242 |
| ISBN: | 9780470994009 |
| Abstract: | 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 assets prices, non stationary market dynamics, arbitrage free pricing, generalized functions and their application to Fourier transform. |
| Data prodotto definitivo in UGOV: | 19-gen-2010 |
| Appare nelle tipologie: | 3.01 Monografia / trattato scientifico in forma di libro |
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