Modular Pricing of Options: An Application of Fourier Analysis [Lecture Notes in

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Item specifics

Condition
Brand New: A new, unread, unused book in perfect condition with no missing or damaged pages. See all condition definitionsopens in a new window or tab
Book Title
Modular Pricing of Options: An Application of Fourier Analysis (
ISBN
9783540679165
Category

About this product

Product Identifiers

Publisher
Springer
ISBN-10
3540679162
ISBN-13
9783540679165
eBay Product ID (ePID)
1851049

Product Key Features

Number of Pages
X, 170 Pages
Language
English
Publication Name
Applications of Fourier Transform to Smile Modeling : Theory and Implementation
Subject
Finance / General, Investments & Securities / Options, Mathematical Analysis
Publication Year
2000
Type
Textbook
Subject Area
Mathematics, Business & Economics
Author
Jianwei Zhu
Series
Lecture Notes in Economics and Mathematical Systems
Format
Trade Paperback

Dimensions

Item Weight
9.6 Oz
Item Length
9.3 in
Item Width
6.1 in

Additional Product Features

Intended Audience
Scholarly & Professional
LCCN
00-063584
Series Volume Number
Vol. 493
Illustrated
Yes
Table Of Content
Introduction.- Purposes of this Book; Constructing Characteristic Functions; Economic Interpretation of CFs; Examination of Existing Option Models; Equivalence of CFs to PDEs; Modular Pricing of Options.- Stochastic Factors as Modules; Stochastic Volatilities; Stochastic Interest Rates; Random Jumps; Integrating the Modules; Appendices; Extensions of MPO to Exotic Options.- Barrier Options; Lookback Options; Asian Options; Correlation Options; Other Exotic Options; Appendices; Conclusions
Synopsis
This book provides a comprehensive, up-to-date treatment of the application of Fourier analyses to pricing standard and exotic options, and discusses three different factors: stochastic volatility, stochastic interest rate and random jump. The modeling of volatility and interest rate falls into four different alternatives: constant, mean-reverting Ornstein-Uhlenbeck process, mean-reverting square root process and mean-reverting double square root process, while random jumps are specified as pure jumps, lognormal jumps and Pareto jumps. This framework called Modular Pricing of Options includes most of the existing options pricing formulas as special cases.
LC Classification Number
HG6024.A3Z496 2000

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