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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 vital factor in quantitative finance as, for greater than a decade, the Fourier remodel has validated itself because the most productive instrument for deriving closed-form choice pricing formulation in numerous version periods. This booklet describes the functions of the Fourier rework to the modeling of volatility smile, by way of a complete remedy of choice valuation in a unified framework, protecting stochastic volatilities and rates of interest, Poisson and Levy jumps, together with quite a few asset sessions comparable to fairness, FX and rates of interest, in addition to quite a few numberical examples and prototype programming codes. Readers will take advantage of this e-book not just via gaining an outline of the complicated thought and the significant diversity of literature on those subject matters, but in addition via receiving first-hand suggestions at the sensible purposes and implementations of the speculation. The booklet is aimed toward monetary engineers, probability managers, graduate scholars and researchers.

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