eBook - ePub

Fourier Transform Methods in Finance

Name: Fourier Transform Methods in Finance
ISBN: 9780470684924

Umberto Cherubini,

Giovanni Della Lunga,

Sabrina Mulinacci,

Pietro Rossi,

English
ePUB (mobile friendly)
Available on iOS & Android

eBook - ePub

Fourier Transform Methods in Finance

Umberto Cherubini,

Giovanni Della Lunga,

Sabrina Mulinacci,

Pietro Rossi,

About this book

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

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Yes, you can access Fourier Transform Methods in Finance by Umberto Cherubini,Giovanni Della Lunga,Sabrina Mulinacci,Pietro Rossi in PDF and/or ePUB format, as well as other popular books in Business & Investments & Securities. We have over one million books available in our catalogue for you to explore.