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Table of contents (11 chapters)
Keywords
About this book
Reviews
From the reviews of the second edition:
“The book is intended to present a comprehensive treatment of the Fourier transform in option pricing … . It is aimed to graduate students and researchers looking for a compact introduction to smile modeling with Fourier transform, or to financial engineers and risk managers working on option pricing and willing to implement models with characteristic functions. … a self-contained style, presenting the basic concepts of option pricing theory and the advanced techniques of asset modeling, especially with respect to Fourier transform and characteristic functions.” (Iulian Stoleriu, Zentralblatt MATH, Vol. 1182, 2010)Authors and Affiliations
Bibliographic Information
Book Title: Applications of Fourier Transform to Smile Modeling
Book Subtitle: Theory and Implementation
Authors: Jianwei Zhu
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-642-01808-4
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2010
Hardcover ISBN: 978-3-642-01807-7Published: 16 October 2009
Softcover ISBN: 978-3-642-26094-0Published: 14 March 2012
eBook ISBN: 978-3-642-01808-4Published: 03 October 2009
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 2
Number of Pages: XV, 330
Number of Illustrations: 7 b/w illustrations
Additional Information: Originally published as volume 493 in the series: Lecture Notes in Economics and Mathematical Systems
Topics: Business Mathematics, Finance, general, Quantitative Finance