Applications of Fourier Transform to Smile Modeling

Jianwei Zhu ()
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Jianwei Zhu: Lucht Probst Associates GmbH

in Springer Finance from Springer, currently edited by Francesca Biagini, Bruno Bouchard, Mark Broadie, Paolo Guasoni, Charles-Albert Lehalle, Mathieu Rosenbaum

Date: 2010
ISBN: 978-3-642-01808-4
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Chapters in this book:

Ch Chapter 1 Option Valuation and the Volatility Smile

Jianwei Zhu

Ch Chapter 10 Exotic Options with Stochastic Volatilities

Jianwei Zhu

Ch Chapter 11 Libor Market Model with Stochastic Volatilities

Jianwei Zhu

Ch Chapter 2 Characteristic Functions in Option Pricing

Jianwei Zhu

Ch Chapter 3 Stochastic Volatility Models

Jianwei Zhu

Ch Chapter 4 Numerical Issues of Stochastic Volatility Models

Jianwei Zhu

Ch Chapter 5 Simulating Stochastic Volatility Models

Jianwei Zhu

Ch Chapter 6 Stochastic Interest Models

Jianwei Zhu

Ch Chapter 7 Poisson Jumps

Jianwei Zhu

Ch Chapter 8 Lévy Jumps

Jianwei Zhu

Ch Chapter 9 Integrating Various Stochastic Factors

Jianwei Zhu

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DOI: 10.1007/978-3-642-01808-4

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