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MODULAR PRICING OPTIONS: An Application of Fourier Analysis: v.493 (Lecture Notes in Economics and Mathematical Systems) - Tapa blanda
Sinopsis
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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Reseña del editor
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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Modular pricing of options : an application of Fourier analysis. Lecture notes in economics and mathematical systems ; Vol. 493
Librería: books4less (Versandantiquariat Petra Gros GmbH & Co. KG), Welling, Alemania
Calificación del vendedor: 5 de 5 estrellas
Broschiert. Condición: Gut. 170 S. Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen Bibliothek und trägt die entsprechenden Kennzeichnungen (Rückenschild, Instituts-Stempel.); Schnitt und Einband sind etwas staubschmutzig; Einbandkanten sind leicht bestoßen; der Buchzustand ist ansonsten ordentlich und dem Alter entsprechend gut. Text in ENGLISCHER Sprache! Sprache: Englisch Gewicht in Gramm: 280. Nº de ref. del artículo: 1597007
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Modular Pricing of Options: An Application of Fourier Analysis (Lecture Notes in Economics and Mathematical Systems)
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CreateSpace Independent Publishing Platform, 2000
ISBN 10: 3540679162
ISBN 13: 9783540679165
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Librería: thebookforest.com, San Rafael, CA, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Supporting Bay Area Friends of the Library since 2010. Well packaged and promptly shipped. Nº de ref. del artículo: 1LAUHV002WXB
Cantidad disponible: 1 disponibles