000			02872nam a22003735i 4500
001			299794
003			MX-SnUAN
005			20170705134248.0
007			cr nn 008mamaa
008			150903s2010 gw | o |||| 0|eng d
020			_a9783642018084 _99783642018084
024	7		_a10.1007/9783642018084 _2doi
035			_avtls000353178
039		9	_a201509030522 _bVLOAD _c201405060316 _dVLOAD _y201402180938 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aHG1-9999
100	1		_aZhu, Jianwei. _eautor _9336908
245	1	0	_aApplications of Fourier Transform to Smile Modeling : _bTheory and Implementation / _cby Jianwei Zhu.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2010.
300			_axv, 330 páginas _brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aSpringer Finance
500			_aSpringer eBooks
505	0		_aOption 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			_aThe 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.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783642018077
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-642-01808-4 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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999			_c299794 _d299794