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Analysis of Fourier Transform Valuation Formulas and Applications

Citations

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Cited by:

  1. St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2013. "Variance optimal hedging for continuous time additive processes and applications," Papers 1302.1965, arXiv.org.
  2. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
  3. Asai, Manabu & McAleer, Michael, 2015. "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
  4. Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Papers 1202.0587, arXiv.org, revised Oct 2012.
  5. Maximilian Gaß & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair, 2018. "Chebyshev interpolation for parametric option pricing," Finance and Stochastics, Springer, vol. 22(3), pages 701-731, July.
  6. Eduardo Abi Jaber & Shaun & Li & Xuyang Lin, 2024. "Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models," Papers 2405.02170, arXiv.org.
  7. Samuel Drapeau & Michael Kupper & Antonis Papapantoleon, 2012. "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents," Papers 1212.6732, arXiv.org, revised Dec 2013.
  8. Robert Stelzer & Jovana Zaviv{s}in, 2014. "Derivative pricing under the possibility of long memory in the supOU stochastic volatility model," Papers 1404.1773, arXiv.org.
  9. Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
  10. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
  11. Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020. "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  12. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2019. "Multiple curve Lévy forward price model allowing for negative interest rates," Post-Print hal-03898912, HAL.
  13. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
  14. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
  15. F. Antonelli & A. Ramponi & S. Scarlatti, 2016. "Random Time Forward-Starting Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-25, December.
  16. Martijn Pistorius & Johannes Stolte, 2012. "Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations," Papers 1203.6899, arXiv.org.
  17. José Fajardo, 2018. "Barrier style contracts under Lévy processes once again," Annals of Finance, Springer, vol. 14(1), pages 93-103, February.
  18. Federico De Olivera & Ernesto Mordecki, 2014. "Computing Greeks for L\'evy Models: The Fourier Transform Approach," Papers 1407.1343, arXiv.org.
  19. Antje Mahayni & Matthias Muck, 2017. "The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk," Review of Derivatives Research, Springer, vol. 20(3), pages 281-308, October.
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  21. Yannick Armenti & Stephane Crepey & Samuel Drapeau & Antonis Papapantoleon, 2015. "Multivariate Shortfall Risk Allocation and Systemic Risk," Papers 1507.05351, arXiv.org, revised Mar 2017.
  22. Christian Bayer & Simon Breneis, 2023. "Weak Markovian Approximations of Rough Heston," Papers 2309.07023, arXiv.org.
  23. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
  24. Michael Schmutz & Thomas Zürcher, 2014. "Static Hedging with Traffic Light Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(7), pages 690-702, July.
  25. Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.
  26. Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
  27. Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Michael Samet & Ra'ul Tempone, 2024. "Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options," Papers 2403.02832, arXiv.org.
  28. Yannis G. Yatracos, 2013. "Option pricing, Bayes risks and Applications," Papers 1304.5156, arXiv.org.
  29. Holger Fink & Stefan Mittnik, 2021. "Quanto Pricing beyond Black–Scholes," JRFM, MDPI, vol. 14(3), pages 1-27, March.
  30. Glau, Kathrin & Wunderlich, Linus, 2022. "The deep parametric PDE method and applications to option pricing," Applied Mathematics and Computation, Elsevier, vol. 432(C).
  31. Rihito Sakurai & Haruto Takahashi & Koichi Miyamoto, 2024. "Learning parameter dependence for Fourier-based option pricing with tensor trains," Papers 2405.00701, arXiv.org, revised Oct 2024.
  32. Kevin Kurt & Rudiger Frey, 2021. "Markov-Modulated Affine Processes," Papers 2106.16240, arXiv.org, revised Aug 2022.
  33. Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
  34. Fred Espen Benth & Hanna Zdanowicz, 2016. "Pricing And Hedging Of Energy Spread Options And Volatility Modulated Volterra Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-22, February.
  35. Abdou Kélani & François Quittard-Pinon, 2017. "Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 209-238, March.
  36. Alessandro Ramponi, 2012. "Fourier Transform Methods For Regime-Switching Jump-Diffusions And The Pricing Of Forward Starting Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1-26.
  37. Michael Schmutz & Thomas Zurcher, 2010. "Static replications with traffic light options," Papers 1011.4795, arXiv.org.
  38. Stefan Waldenberger, 2015. "The affine inflation market models," Papers 1503.04979, arXiv.org.
  39. Belomestny, Denis & Iosipoi, Leonid, 2021. "Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 351-363.
  40. Michael Samet & Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Ra'ul Tempone, 2022. "Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models," Papers 2203.08196, arXiv.org, revised Oct 2023.
  41. Maximilian Ga{ss} & Kathrin Glau & Maximilian Mair, 2015. "Magic points in finance: Empirical integration for parametric option pricing," Papers 1511.00884, arXiv.org, revised Nov 2016.
  42. Fajardo, José, 2016. "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper 71813, University Library of Munich, Germany.
  43. Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.
  44. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  45. Mesias Alfeus & Erik Schlögl, 2019. "On Spread Option Pricing Using Two-Dimensional Fourier Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-20, August.
  46. Mesias Alfeus & Erik Schlögl, 2018. "On Numerical Methods for Spread Options," Research Paper Series 388, Quantitative Finance Research Centre, University of Technology, Sydney.
  47. Laurens Van Mieghem & Antonis Papapantoleon & Jonas Papazoglou-Hennig, 2023. "Machine learning for option pricing: an empirical investigation of network architectures," Papers 2307.07657, arXiv.org.
  48. Kathrin Glau & Linus Wunderlich, 2020. "The Deep Parametric PDE Method: Application to Option Pricing," Papers 2012.06211, arXiv.org.
  49. Hieber, Peter, 2017. "Cliquet-style return guarantees in a regime switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 138-147.
  50. Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2014. "Affine LIBOR models with multiple curves: theory, examples and calibration," Papers 1405.2450, arXiv.org, revised Aug 2015.
  51. Fred Espen Benth & Giulia Di Nunno & Asma Khedher & Maren Diane Schmeck, 2015. "Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(1), pages 28-62, March.
  52. Christian Bayer & John Schoenmakers, 2015. "Option pricing in affine generalized Merton models," Papers 1512.03677, arXiv.org.
  53. Ismail Laachir & Francesco Russo, 2016. "BSDEs, càdlàg martingale problems and orthogonalisation under basis risk," Post-Print hal-01086227, HAL.
  54. Mesias Alfeus & James Collins, 2023. "A novel stochastic modeling framework for coal production and logistics through options pricing analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-19, December.
  55. Marco Nicolosi & Flavio Angelini & Stefano Herzel, 2018. "Portfolio management with benchmark related incentives under mean reverting processes," Annals of Operations Research, Springer, vol. 266(1), pages 373-394, July.
  56. Chunfa Wang, 2017. "Pricing European Options by Stable Fourier-Cosine Series Expansions," Papers 1701.00886, arXiv.org, revised Jan 2017.
  57. Antonis Papapantoleon, 2011. "Computation of copulas by Fourier methods," Papers 1108.1216, arXiv.org, revised Jun 2014.
  58. Fred Espen Benth & Hanna Zdanowicz, 2014. "Pricing and hedging of energy spread options and volatility modulated Volterra processes," Papers 1409.5801, arXiv.org.
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