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02844nam a22004575i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20140310151454.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2010 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783642018084 |
|
978-3-642-01808-4 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG1-9999 |
|
|---|
| Classification number |
HG4501-6051 |
|
|---|
| Classification number |
HG1501-HG3550 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
657.8333 |
| Edition number |
23 |
|
|---|
| Classification number |
658.152 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg, |
| -- |
2010. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Zhu, Jianwei. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Applications of Fourier Transform to Smile Modeling |
| Medium |
[electronic resource] : |
| Remainder of title |
Theory and Implementation / |
| Statement of responsibility, etc |
by Jianwei Zhu. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XV, 330 p. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Springer Finance |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Option Valuation and the Volatility Smile -- Characteristic Functions in Option Pricing -- Stochastic Volatility Models -- Numerical Issues of Stochastic Volatility Models -- Simulating Stochastic Volatility Models -- Stochastic Interest Models -- Poisson Jumps -- Lévy Jumps -- Integrating Various Stochastic Factors -- Exotic Options with Stochastic Volatilities -- Libor Market Model with Stochastic Volatilities. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
The sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricing formulas in various model classes. This book describes the applications of the Fourier transform to the modeling of volatility smile, followed by a comprehensive treatment of option valuation in a unified framework, covering stochastic volatilities and interest rates, Poisson and Levy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this book not only by gaining an overview of the advanced theory and the vast range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed at financial engineers, risk managers, graduate students and researchers. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Economics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Banks and banking. |
|
|---|
| Topical term or geographic name as entry element |
Economics/Management Science. |
|
|---|
| Topical term or geographic name as entry element |
Finance /Banking. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642018077 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-01808-4 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
