000			03030nam a22005175i 4500
001			978-3-642-01808-4
003			DE-He213
005			20140220084523.0
007			cr nn 008mamaa
008			100301s2010 gw | s |||| 0|eng d
020			_a9783642018084 _9978-3-642-01808-4
024	7		_a10.1007/978-3-642-01808-4 _2doi
050		4	_aHG1-9999
050		4	_aHG4501-6051
050		4	_aHG1501-HG3550
072		7	_aKFF _2bicssc
072		7	_aKFFK _2bicssc
072		7	_aBUS027000 _2bisacsh
072		7	_aBUS004000 _2bisacsh
082	0	4	_a657.8333 _223
082	0	4	_a658.152 _223
100	1		_aZhu, Jianwei. _eauthor.
245	1	0	_aApplications of Fourier Transform to Smile Modeling _h[electronic resource] : _bTheory and Implementation / _cby Jianwei Zhu.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2010.
300			_aXV, 330 p. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aSpringer Finance
505	0		_aOption Valuation and the Volatility Smile -- Characteristic Functions in Option Pricing -- Stochastic Volatility Models -- Numerical Issues of Stochastic Volatility Models -- Simulating Stochastic Volatility Models -- Stochastic Interest Models -- Poisson Jumps -- Lévy Jumps -- Integrating Various Stochastic Factors -- Exotic Options with Stochastic Volatilities -- Libor Market Model with Stochastic Volatilities.
520			_aThe sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricing formulas in various model classes. This book describes the applications of the Fourier transform to the modeling of volatility smile, followed by a comprehensive treatment of option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this book not only by gaining an overview of the advanced theory and the vast range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed at financial engineers, risk managers, graduate students and researchers.
650		0	_aEconomics.
650		0	_aFinance.
650		0	_aBanks and banking.
650	1	4	_aEconomics/Management Science.
650	2	4	_aFinance /Banking.
650	2	4	_aQuantitative Finance.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783642018077
830		0	_aSpringer Finance
856	4	0	_uhttp://dx.doi.org/10.1007/978-3-642-01808-4
912			_aZDB-2-SMA
999			_c111375 _d111375