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Applications of Fourier Transform to Smile Modeling by Jianwei Zhu

By Jianwei Zhu

The sound modeling of the smile impression is a crucial factor in quantitative finance as, for greater than a decade, the Fourier remodel has verified itself because the most productive software for deriving closed-form alternative pricing formulation in a variety of version periods. This booklet describes the purposes of the Fourier remodel to the modeling of volatility smile, via a finished remedy of choice valuation in a unified framework, overlaying stochastic volatilities and rates of interest, Poisson and Levy jumps, together with quite a few asset sessions equivalent to fairness, FX and rates of interest, in addition to a number of numberical examples and prototype programming codes. Readers will make the most of this ebook not just by means of gaining an summary of the complex thought and the monstrous diversity of literature on those issues, but additionally by way of receiving first-hand suggestions at the useful purposes and implementations of the speculation. The e-book is geared toward monetary engineers, possibility managers, graduate scholars and researchers.

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