Titlebook: Applications of Fourier Transform to Smile Modeling; Theory and Implement Jianwei Zhu Book 2010Latest edition Springer-Verlag Berlin Heidel

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https://doi.org/10.1007/978-0-387-09766-4 distributions. Here, we consider three representative jump models that are distinguished from each other solely by the distributions of jump sizes, they are the simple deterministic jumps, the log-normal jumps and the Pareto jumps. Additionally, we will show that Kou’s jump model (2002) with weight

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https://doi.org/10.1007/978-0-387-09766-4volatility LMMs are discussed. All of these five models apply characteristic functions or moment-generating functions for pricing caps and swaptions to different extent. While CFs do not find significant applications in the models of Andersen and Brotherton-Ratcliffe (2001), and Piterbarg (2003), th

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Stochastic Volatility Models,rate modeling are two ideal candidate processes for stochastic volatilities. Heston (1993) specified stochastic variances with a mean-reverting square root process and derived a pioneering pricing formula for options by using CFs. Stochastic volatility model with a mean-reverting Ornstein-Uhlenbeck

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