Jianwei Zhu "Applications of Fourier Transform to Smile Modeling: Theory and Implementation"
Springer | English | 2009-10-29 | ISBN: 3642018076 | 330 pages | PDF | 2,3 MB



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The sound modeling of the smile effect is an important issue inquantitative finance as, for more than a decade, the Fourier transformhas established itself as the most efficient tool for derivingclosed-form option pricing formulas in various model classes. This bookdescribes the applications of the Fourier transform to the modeling ofvolatility smile, followed by a comprehensive treatment of optionvaluation in a unified framework, covering stochastic volatilities andinterest rates, Poisson and Levy jumps, including various asset classessuch as equity, FX and interest rates, as well as various numbericalexamples and prototype programming codes. Readers will benefit fromthis book not only by gaining an overview of the advanced theory andthe vast range of literature on these topics, but also by receivingfirst-hand feedback on the practical applications and implementationsof the theory. The book is aimed at financial engineers, risk managers,graduate students and researchers.