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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 rework has tested itself because the most productive software for deriving closed-form choice pricing formulation in numerous version sessions. This publication describes the functions of the Fourier remodel to the modeling of volatility smile, by way of a finished therapy of alternative valuation in a unified framework, overlaying stochastic volatilities and rates of interest, Poisson and Levy jumps, together with quite a few asset periods corresponding 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 publication not just by means of gaining an outline of the complicated idea and the titanic diversity of literature on those subject matters, but in addition by means of receiving first-hand suggestions at the sensible purposes and implementations of the speculation. The e-book is geared toward monetary engineers, hazard managers, graduate scholars and researchers.

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Applications of Fourier Transform to Smile Modeling (Springer Finance) by Jianwei Zhu


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