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Author
Zhu, Jianwei, 1970-
Title
Modular pricing of options : an application of Fourier analysis / Jianwei Zhu
Published
Berlin ; New York : Springer, [2000]
©2000
Copies
Location
Call no.
Vol.
Availability
MELB
332.645 Zhu/Mpo
AVAILABLE
Description
170 pages : illustrations ; 24 cm
Series
Lecture notes in economics and mathematical systems, 0075-8442 ; 493
Lecture notes in economics and mathematical systems ; 493
Contents
1. Introduction -- 2. Modular Pricing of Options (MPO) -- 2.1. Stochastic Factors as Modules -- 2.2. Stochastic Volatilities -- 2.3. Stochastic Interest Rates -- 2.4. Random Jumps -- 2.5. Integrating the Modules -- 2.6. Appendices -- 3. Extensions of MPO to Exotic Options -- 3.1. Introduction -- 3.2. Barrier Options -- 3.3. Lookback Options -- 3.4. Asian Options -- 3.5. Correlation Options -- 3.6. Other Exotic Options -- 3.7. Appendices -- 4. Conclusions
Notes
A rev. version of the author's dissertation (doctoral--Tübingen)
Bibliography
Includes bibliographical references (pages [163]-170)
Notes
Lecture notes in economics and mathematical systems no:493 0075-8442
Subject
Fourier analysis.
Options (Finance) -- Prices.
LC no.
00063584
ISBN
3540679162 (softcover : alk. paper)
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