Fourier transform methods in finance /
"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; arb...
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| Other Authors: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Chichester ; [Hoboken, N.J.] :
John Wiley & Sons,
©2010.
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| Subjects: | |
| Online Access: | Full text (Emerson users only) Full text (Emmanuel users only) Full text (NECO users only) Full text (MCPHS users only) Full text (Wentworth users only) Full text (Wentworth users only) |
| Summary: | "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." "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."--Jacket |
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| Physical Description: | 1 online resource (xii, 242 pages) : illustrations |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781119207825 1119207827 9780470688229 047068822X 0470684925 9780470684924 1282483137 9781282483132 9786612483134 661248313X |