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Modular Pricing of Options: An Application of Fourier Analysis (Lecture Notes in Economics and Mathematical Systems) [Paperback]

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Item description for Modular Pricing of Options: An Application of Fourier Analysis (Lecture Notes in Economics and Mathematical Systems) by Jianwei Zhu...

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.



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Item Specifications...


Pages   170
Est. Packaging Dimensions:   Length: 0.5" Width: 5.75" Height: 9.25"
Weight:   0.6 lbs.
Binding  Softcover
Release Date   Oct 15, 2000
Publisher   Springer
ISBN  3540679162  
ISBN13  9783540679165  


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Product Categories

1Books > Special Features > New & Used Textbooks > Sciences > Mathematics
2Books > Subjects > Business & Investing > Economics > General
3Books > Subjects > Business & Investing > General
4Books > Subjects > Business & Investing > Investing > Futures
5Books > Subjects > Business & Investing > Investing > General
6Books > Subjects > Business & Investing > Investing > Options
7Books > Subjects > Medicine > General
8Books > Subjects > Professional & Technical > Accounting & Finance > Finance > General
9Books > Subjects > Professional & Technical > Professional Science > Mathematics > Mathematical Analysis
10Books > Subjects > Science > Mathematics > General
11Books > Subjects > Science > Mathematics > Mathematical Analysis



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