Fourier transform methods in finance.

MaRDI QIDQ3574012zbMATH OpenFDO

Authors Umberto Cherubini, Giovanni della Lunga, Sabrina Mulinacci, Pietro Rossi

Publication date 9 July 2010

Mathematics Subject Classification ID

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)

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Cited in

(19)

• Some properties of the one-dimensional subordinated stable model
• Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
• Pricing the bank's triggered financial products based on Fourier transform method
• 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
• Modular pricing of options. An application of Fourier analysis
• Deep calibration with random grids
• Binomial tree method for option pricing: discrete cosine transform approach
• Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
• Pricing interest-rate derivatives. A Fourier-transform based approach.
• Counterparty credit risk in a clearing network
• A generalized Fourier transform approach to risk measures

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