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.
U. Cherubini, G. Della Lunga, S. Mulinacci, P. Rossi (2010). Fourier Transform Methods in Finance. CHICHESTER : John Wiley & Sons.
Fourier Transform Methods in Finance
CHERUBINI, UMBERTO;MULINACCI, SABRINA;
2010
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
