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Harmonic analysis. Fourier analysis --- Computer. Automation --- Analyse harmonique --- Harmonic analysis --- Harmonische analyse --- Periodicals. --- Périodiques --- Engineering --- Mathematical Sciences --- General and Others --- Algorithms --- Applied Mathematics --- Mathematical Analysis & Logic

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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 the Fourier transform to the modeling of volatility smile, followed by a comprehensive treatment of option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this book not only by gaining an overview of the advanced theory and the vast range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed at financial engineers, risk managers, graduate students and researchers.

Economics/Management Science. --- Finance /Banking. --- Quantitative Finance. --- Economics. --- Finance. --- Banks and banking. --- Economie politique --- Finances --- Banques --- Fourier analysis. --- Options (Finance) --- Harmonische Analyse. --- Optionspreistheorie. --- Prices.

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Harmonic analysis. Fourier analysis --- Analyse harmonique --- Enkelvoudige integralen --- Fourier [Transformations de ] --- Fourier transformaties --- Fourier transformations --- Harmonic analysis --- Harmonische analyse --- Integralen [Enkelvoudige ] --- Integrals [Singular ] --- Intégrales singulières --- Singular integrals --- Transformations [Fourier ] --- Transformations de Fourier --- Transforms [Fourier ]

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Harmonic analysis --- Analyse harmonique --- Analysis (Mathematics) --- Functions, Potential --- Potential functions --- Harmonic analysis. --- Harmonische analyse. --- Harmonische Analyse --- Datenverarbeitung --- Zeitschrift --- Online-Ressource --- Banach algebras --- Calculus --- Mathematical analysis --- Mathematics --- Bessel functions --- Fourier series --- Harmonic functions --- Time-series analysis --- Netzpublikation --- Online-Publikation --- Computerdatei im Fernzugriff --- Online-Dokument --- On-line-Dokument --- On-line-Publikation --- Elektronische Publikation --- Periodikum --- Zeitschriften --- Presse --- Fortlaufendes Sammelwerk --- ADV --- Automatische Datenverarbeitung --- Automatisierte Datenverarbeitung --- EDV --- Elektronische Datenverarbeitung --- Automation --- Computer --- Datentechnik --- Informatik --- Fourier-Analyse --- Harmonische Analysis --- Frequenzanalyse --- Fourier-Reihe --- Fourier-Transformation

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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 the Fourier transform to the modeling of volatility smile, followed by a comprehensive treatment of option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this book not only by gaining an overview of the advanced theory and the vast range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed at financial engineers, risk managers, graduate students and researchers.

Fourier analysis. --- Harmonische Analyse. --- Options (Finance) -- Prices. --- Optionspreistheorie. --- Options (Finance) --- Prices. --- Analysis, Fourier --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Business. --- Business mathematics. --- Finance. --- Economics, Mathematical. --- Business and Management. --- Business Mathematics. --- Finance, general. --- Quantitative Finance. --- Mathematical analysis --- Derivative securities --- Investments --- Funding --- Funds --- Economics --- Currency question --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Finance --- Mathematics --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Methodology --- Social sciences --- Financial Economics. --- Mathematics in Business, Economics and Finance. --- Mathematics.