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Modular Pricing of Options: An Application of Fourier Analysis [Lecture Notes in
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Oggetto che si trova a: San Rafael, California, Stati Uniti
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Informazioni sull'oggetto
Il venditore si assume la piena responsabilità della messa in vendita dell'oggetto.
Numero oggetto eBay:167287079332
Specifiche dell'oggetto
- Condizione
- Book Title
- Modular Pricing of Options: An Application of Fourier Analysis (
- ISBN
- 9783540679165
Informazioni su questo prodotto
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
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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The Book Forest
99,8% di Feedback positivi•7,4 mila oggetti venduti
Registrato come venditore privatoPertanto non si applicano i diritti dei consumatori derivanti dalla normativa europea. La Garanzia cliente eBay è comunque applicabile alla maggior parte degli acquisti. Scopri di piùScopri di più
Feedback sul venditore (2.960)
- 2***o (215)- Feedback lasciato dall'acquirente.Ultimi 6 mesiAcquisto verificatoAs described in perfect condition no damage to whole lot handled with care very good price package with bubble wrap appearance fantastic very brand new quality fantastic fantastic definently recommend ships rite away no waiting AAA+++ definently coming back thank you sellerSpace 1999: Megaset [DVD] (N° 156355852615)
- i***l (199)- Feedback lasciato dall'acquirente.Ultimi 6 mesiAcquisto verificatoMy books arrived quickly and were well-packaged. Books were in excellent condition as described. Would definitely purchase from this seller again.The Complete Calvin and Hobbes (N° 157254450034)
- r***- (31)- Feedback lasciato dall'acquirente.Ultimi 6 mesiAcquisto verificatoNice book as described, reasonable price, strong package, fast delivery. Highly recommended!The Opening of Tibet (N° 166384247175)