Login

Cherubini, Umberto

Fourier Transform Methods in Finance

Cherubini, Umberto - Fourier Transform Methods in Finance, ebook

104,20€

Ebook, ePUB with Adobe DRM
ISBN: 9780470684924
DRM Restrictions

Printing106 pages with an additional page accrued every 7 hours, capped at 106 pages
Copy to clipboard18 excerpts

This is the first book written on the application of Fourier transform to finance. Written by an academic and practitioner team, it is an accessible and practical guide to the subject providing an introduction to the mathematics and applications of Fourier transform. Starting with a thorough introduction to the topic, it then looks at recent developments within statistics and finance (jumps, time changes etc) and the problems these have raised in derivatives pricing and risk management. The book then moves onto the technical concepts and application of Fourier transform. It shows practitioners how to apply the tool to price financial instruments such as derivatives, (plain vanilla, barrier options, exotic options etc), to price credit risk applications and manage risk.

Contents

Chapter 1. From diffusive processes to Lévy processes.

A review of the most recent developments of the statistics of financial markets, the inclusion of jumps, time changes and the like, and the problems raised for pricing and risk evaluation

Chapter 2. Calculus on complex domain : a primer

The reader is introduced to the main technical concepts from complex analysis that will be used throughout the book. Particularly, the reader will be introduced to the concept of path integral in the complex domain.

Chapter 3. Option pricing by Fourier transforms

The use of Fourier transform in asset pricing is introduced for the simplest products, namely digital products. This enables the reader to learn the basic principles of integration in the complex domain, using Heavyside step functions and Dirac delta function, and applying that directly to solve the basic pricing problem of a Arrow-Debreu securities

Chapter 4. Pricing plain vanilla options

Fourier transform methods are applied to the price of plain vanilla options. The reader is introduced to the problem first in the standard Black and Scholes model, and then in the Heston model, allowing for stochastic volatility. Some points that are left unexplained in the literature are also tackled.

Chapter 5. Pricing barrier options

The reader is introduced to frontier issues in the use of Fourier transforms for pricing barrier options. As in the previous chapter, the analysis is first performed in the standard model and then in a more general one. The chapter introduces the reader to Wiener-Hopf factorization techniques.

Chapter 6. Pricing exotic options

Several applications are proposed for standard classes of univariate exotic options, such as Asian options, lookback, and the like.

Chapter 7. Credit risk pricing applications

Factor copula models and the generating function technique is introduced, and the Fourier transform approach used in the market is investigated in detail.

Chapter 8. Multivariate pricing application

The chapter introduces frontiers issues in the topic. The analysis touches upon new results on multivariate analysis for Levy processes and introduces original research and results on the subject, that the group will be developing next year.

Author(s)
 
 
 
Publisher
John Wiley and Sons, Inc.
Publication year
2009
Language
en
Edition
1
Page amount
352 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9780470684924
Printed ISBN
9780470994009

Similar titles