Applications of Fourier Transform to Smile Modeling: Theory and Implementation: An Application of Fourier Analysis (Springer Finance)

by JianweiZhu (Author)

• New

  Hardcover
  2009

  $185.03

  This text describes the applications of the Fourier transform to the modeling of volatility smile. It comprehensively treats option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, and more.