Fourier transform methods in finance.
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Publication:3574012
zbMATH Open1230.91001MaRDI QIDQ3574012FDOQ3574012
Authors: Umberto Cherubini, Giovanni della Lunga, Sabrina Mulinacci, Pietro Rossi 
Publication date: 9 July 2010
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Numerical methods for discrete and fast Fourier transforms (65T50)
Cited In (19)
- Some properties of the one-dimensional subordinated stable model
- Pricing the bank's triggered financial products based on Fourier transform method
- Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
- Series representations for multivariate time-changed Lévy models
- Fourier transform of lookback option price
- Pricing extendible options using the fast Fourier transform
- ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
- Generalized integral transforms in mathematical finance
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- Applications of Fourier transform to smile modeling. Theory and implementation.
- Quantization meets Fourier: a new technology for pricing options
- Pitfalls of the Fourier transform method in affine models, and remedies
- Deep calibration with random grids
- Modular pricing of options. An application of Fourier analysis
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Binomial tree method for option pricing: discrete cosine transform approach
- Counterparty credit risk in a clearing network
- Pricing interest-rate derivatives. A Fourier-transform based approach.
- A generalized Fourier transform approach to risk measures
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