Fourier Transform Methods in Finance
Cherubini, Umberto / Della Lunga, Giovanni / Mulinacci, Sabrina / Rossi, Pietro
This is the first book written on the application of Fourier transform to finance. Written by an academic and practitioner team, it is an accessible and practical guide to the subject providing an introduction to the mathematics and applications of Fourier transform. Starting with a thorough introduction to the topic, it then looks at recent developments within statistics and finance (jumps, time changes etc) and the problems these have raised...