Fourier Transform Methods in Finance

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Fourier Transform Methods in Finance (The Wiley Finance Series)
By Umberto Cherubini, Giovanni Della Lunga, Sabrina Mulinacci, Pietro Rossi




&#8226ublisher:  Wiley
•Number Of Pages:  256
&#8226ublication Date:  2010-02-15
•ISBN-10 / ASIN:  0470994002
•ISBN-13 / EAN:  9780470994009


Product Description:

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.


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