Applications of Fourier Transform to Smile Modeling Theory and Implementation /

• Main Author: Zhu, Jianwei (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Springer Finance
• Subjects: Business.; Business mathematics.; Finance.; Economics, Mathematical.; Business and Management.; Business Mathematics.; Finance, general.; Quantitative Finance.

The sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricing formulas in various model classes. This book describes the applications of...

Table of Contents:

• Option Valuation and the Volatility Smile
• Characteristic Functions in Option Pricing
• Stochastic Volatility Models
• Numerical Issues of Stochastic Volatility Models
• Simulating Stochastic Volatility Models
• Stochastic Interest Models
• Poisson Jumps
• Lévy Jumps
• Integrating Various Stochastic Factors
• Exotic Options with Stochastic Volatilities
• Libor Market Model with Stochastic Volatilities.