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发表于 2025-3-21 18:28:36
书目名称Applications of Fourier Transform to Smile Modeling影响因子(影响力)<br> http://figure.impactfactor.cn/if/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling影响因子(影响力)学科排名<br> http://figure.impactfactor.cn/ifr/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling网络公开度<br> http://figure.impactfactor.cn/at/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling网络公开度学科排名<br> http://figure.impactfactor.cn/atr/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling被引频次<br> http://figure.impactfactor.cn/tc/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling被引频次学科排名<br> http://figure.impactfactor.cn/tcr/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling年度引用<br> http://figure.impactfactor.cn/ii/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling年度引用学科排名<br> http://figure.impactfactor.cn/iir/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling读者反馈<br> http://figure.impactfactor.cn/5y/?ISSN=BK0159435<br><br> <br><br>书目名称Applications of Fourier Transform to Smile Modeling读者反馈学科排名<br> http://figure.impactfactor.cn/5yr/?ISSN=BK0159435<br><br> <br><br>
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发表于 2025-3-21 22:12:01
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发表于 2025-3-22 03:08:29
Applications of Fourier Transform to Smile Modeling978-3-642-01808-4Series ISSN 1616-0533 Series E-ISSN 2195-0687
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发表于 2025-3-22 08:07:30
Marian Brezina,Jonathan Hu,Ray Tuminaro and begin with the next chapter directly. A Brownian motion is an elemental building-block in modeling the dynamics of stock returns, and correspondingly the geometric Brownian motion as an exponential function of Brownian motion is the simplest and most popular process for stock prices, on which t
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发表于 2025-3-22 10:09:15
Marian Brezina,Jonathan Hu,Ray Tuminarock price is analytically unknown. To express (quasi-) closed-form exercise probabilities and valuation formula, characteristic functions of the underlying stock returns (logarithms) are proven to be not only a powerful and convenient tool to achieve analytical tractability, but also a large accommod
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发表于 2025-3-22 13:27:53
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发表于 2025-3-22 20:57:43
Marian Brezina,Jonathan Hu,Ray Tuminarostic volatility models is crucial for a sound performance of the pricing engine and the model calibration, and includes some different aspects: the numerical integration of (inverse) Fourier transform, the computation of functions of complex number, especially the logarithm of complex number, the ca
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发表于 2025-3-22 23:54:58
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发表于 2025-3-23 04:57:45
https://doi.org/10.1007/978-0-387-09766-4a based on a stock price process generated by a mixture of a Brownian motion and a Poisson process. This mixed process is also called the jump-diffusion process. The requirement for a jump component in a stock price process is intuitive, and supported by the big crashes in stock markets: The Black M
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发表于 2025-3-23 08:38:39
https://doi.org/10.1007/978-0-387-09766-4 be regarded as two special cases of Lévy process, and have only finite activity in a finite time interval. In this chapter, we only consider Lévy processes with infinity activity in a finite time interval. With respect to jump event modeling in finance, compound Poisson jumps discussed in Chapter 7