Fourier Transform Methods in Finance by Umberto Cherubini, Giovanni Della Lunga, Sabrina Mulinacci and Pietro Rossi
Requirements: .PDF reader, 2.1 MB
Overview: In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes.
Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods; the dynamics of asset prices; non stationary market dynamics; arbitrage free pricing; generalized functions and the Fourier transform method.
Genre: Non-Fiction > General
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