Applications of Fourier Transform to Smile Modeling by Jianwei Zhu

By Jianwei Zhu

The sound modeling of the smile impact is a vital factor in quantitative finance as, for greater than a decade, the Fourier remodel has proven itself because the most productive device for deriving closed-form choice pricing formulation in quite a few version periods. This e-book describes the purposes of the Fourier rework to the modeling of volatility smile, by means of a entire therapy of alternative valuation in a unified framework, masking stochastic volatilities and rates of interest, Poisson and Levy jumps, together with quite a few asset periods corresponding to fairness, FX and rates of interest, in addition to a variety of numberical examples and prototype programming codes. Readers will take advantage of this booklet not just through gaining an summary of the complicated conception and the colossal variety of literature on those themes, but in addition via receiving first-hand suggestions at the functional purposes and implementations of the idea. The e-book is aimed toward monetary engineers, threat managers, graduate scholars and researchers.

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