Fourier Transform Algorithms For Pricing And Hedging Discretely Sampled Exotic Variance Products And Volatility Derivatives Under Additive Processes
Download Fourier Transform Algorithms For Pricing And Hedging Discretely Sampled Exotic Variance Products And Volatility Derivatives Under Additive Processes full books in PDF, epub, and Kindle. Read online free Fourier Transform Algorithms For Pricing And Hedging Discretely Sampled Exotic Variance Products And Volatility Derivatives Under Additive Processes ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author | : Wendong Zheng |
Publisher | : |
Total Pages | : 30 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives Under Additive Processes Book in PDF, Epub and Kindle
We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous L evy processes). Our numerical algorithms are non-trivial versions of the Fourier space time stepping method to nonlinear path dependent payoff structures, like those in variance products and volatility derivatives. The exotic path dependency associated with the discretely sampled realized variance is captured in the numerical procedure by updating two path dependent state variables across monitoring dates. The time stepping procedure between successive monitoring dates can be performed using fast Fourier transform calculations without the usual tedious time stepping calculations in typical nite di erence algorithms. We also derive effective numerical procedures that compute the hedge parameters of variance products and volatility derivatives. Numerical tests on pricing various variance products and volatility derivatives were performed that illustrate e ciency, accuracy, reliability and robustness of the proposed Fourier transform algorithms.
Author | : Yue Kuen Kwok |
Publisher | : CRC Press |
Total Pages | : 283 |
Release | : 2022-05-08 |
Genre | : Business & Economics |
ISBN | : 1000584259 |
Download Pricing Models of Volatility Products and Exotic Variance Derivatives Book in PDF, Epub and Kindle
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Author | : Wendong Zheng |
Publisher | : |
Total Pages | : 139 |
Release | : 2012 |
Genre | : Derivative securities |
ISBN | : |
Download Analytic Methods and Numerical Algorithms for Pricing and Hedging Discretely Sampled Variance Products and Volatility Derivatives Book in PDF, Epub and Kindle
Author | : Roger Lord |
Publisher | : Rozenberg Publishers |
Total Pages | : 211 |
Release | : 2008 |
Genre | : |
ISBN | : 9051709099 |
Download Efficient pricing algorithms for exotic derivatives Book in PDF, Epub and Kindle
Author | : Eleanor Chu |
Publisher | : CRC Press |
Total Pages | : 272 |
Release | : 2008-03-19 |
Genre | : Mathematics |
ISBN | : 1000687570 |
Download Discrete and Continuous Fourier Transforms Book in PDF, Epub and Kindle
Long employed in electrical engineering, the discrete Fourier transform (DFT) is now applied in a range of fields through the use of digital computers and fast Fourier transform (FFT) algorithms. But to correctly interpret DFT results, it is essential to understand the core and tools of Fourier analysis. Discrete and Continuous Fourier Transform
Author | : Richard Tolimieri |
Publisher | : Springer Science & Business Media |
Total Pages | : 273 |
Release | : 2013-03-09 |
Genre | : Technology & Engineering |
ISBN | : 1475727674 |
Download Algorithms for Discrete Fourier Transform and Convolution Book in PDF, Epub and Kindle
This graduate-level text provides a language for understanding, unifying, and implementing a wide variety of algorithms for digital signal processing - in particular, to provide rules and procedures that can simplify or even automate the task of writing code for the newest parallel and vector machines. It thus bridges the gap between digital signal processing algorithms and their implementation on a variety of computing platforms. The mathematical concept of tensor product is a recurring theme throughout the book, since these formulations highlight the data flow, which is especially important on supercomputers. Because of their importance in many applications, much of the discussion centres on algorithms related to the finite Fourier transform and to multiplicative FFT algorithms.
Author | : Wendong Zheng |
Publisher | : |
Total Pages | : 28 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-Changed Lèvy Processes Book in PDF, Epub and Kindle
We propose robust numerical algorithms for pricing discrete variance options and volatility swaps under general time-changed Lèvy processes. Since analytic pricing formulas of these derivatives are not available, some of the earlier pricing methods use the quadratic variation approximation for the discrete realized variance. While this approximation works quite well for long-maturity options on discrete realized variance, numerical accuracy deteriorates for options with low frequency of monitoring and/or short maturity. To circumvent these shortcomings, we construct numerical algorithms that rely on the computation of the moment generating function of the discrete realized variance under the time-changed Lèvy models. We adopt the randomization of the Laplace transform of the discrete log return with a standard normal random variable and develop a recursive quadrature algorithm to compute the moment generating function of the discrete realized variance. Our pricing approach is rather computationally efficient when compared with the Monte Carlo simulation and works particularly well for discrete realized variance and volatility derivatives with low frequency of monitoring and/or short maturity. The pricing properties of various variance and volatility derivatives under various time-changed Lèvy processes and the Heston model are also investigated.
Author | : C. Sidney Burrus |
Publisher | : Lulu.com |
Total Pages | : 256 |
Release | : 2012-11-30 |
Genre | : Technology & Engineering |
ISBN | : 1300461640 |
Download Fast Fourier Transforms Book in PDF, Epub and Kindle
This book uses an index map, a polynomial decomposition, an operator factorization, and a conversion to a filter to develop a very general and efficient description of fast algorithms to calculate the discrete Fourier transform (DFT). The work of Winograd is outlined, chapters by Selesnick, Pueschel, and Johnson are included, and computer programs are provided.
Author | : Richard Tolimieri |
Publisher | : Springer Science & Business Media |
Total Pages | : 241 |
Release | : 2012-12-06 |
Genre | : Technology & Engineering |
ISBN | : 1468402056 |
Download Mathematics of Multidimensional Fourier Transform Algorithms Book in PDF, Epub and Kindle
The main emphasis of this book is the development of algorithms for processing multi-dimensional digital signals, and particularly algorithms for multi-dimensional Fourier transforms, in a form that is convenient for writing highly efficient code on a variety of vector and parallel computers.
Author | : Carolyn E. Phelan |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Fourier Transform Methods for the Pricing of Barrier Options and Other Exotic Derivatives Book in PDF, Epub and Kindle