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Refined And Enhanced Fast Fourier Transform Techniques With An Application To The Pricing Of Barrier Options
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Book Synopsis Refined and Enhanced Fast Fourier Transform Techniques, with an Application to the Pricing of Barrier Options by : Mitya Boyarchenko
Download or read book Refined and Enhanced Fast Fourier Transform Techniques, with an Application to the Pricing of Barrier Options written by Mitya Boyarchenko and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fast Fourier transform (FFT) technique is now a standard tool for the numerical calculation of prices of derivative securities. Unfortunately, in many important situations, such as the pricing of contingent claims of European type near expiry, and the pricing of barrier options close to the barrier, the standard implementation of this technique leads to serious systematic errors. We propose a new, fast and efficient, variant of the FFT technique, which is free of these problems, and is as easy to implement as the most common version of FFT. As an example, we show how our method leads to a pricing algorithm for down-and-out barrier put options that is the most efficient one to date, both in terms of the speed and in terms of the accuracy of the computations.
Book Synopsis The Oxford Handbook of Credit Derivatives by : Alexander Lipton
Download or read book The Oxford Handbook of Credit Derivatives written by Alexander Lipton and published by OUP Oxford. This book was released on 2013-01-17 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts
Book Synopsis Lectures on the Fourier Transform and Its Applications by : Brad G. Osgood
Download or read book Lectures on the Fourier Transform and Its Applications written by Brad G. Osgood and published by American Mathematical Soc.. This book was released on 2019-01-18 with total page 689 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is derived from lecture notes for a course on Fourier analysis for engineering and science students at the advanced undergraduate or beginning graduate level. Beyond teaching specific topics and techniques—all of which are important in many areas of engineering and science—the author's goal is to help engineering and science students cultivate more advanced mathematical know-how and increase confidence in learning and using mathematics, as well as appreciate the coherence of the subject. He promises the readers a little magic on every page. The section headings are all recognizable to mathematicians, but the arrangement and emphasis are directed toward students from other disciplines. The material also serves as a foundation for advanced courses in signal processing and imaging. There are over 200 problems, many of which are oriented to applications, and a number use standard software. An unusual feature for courses meant for engineers is a more detailed and accessible treatment of distributions and the generalized Fourier transform. There is also more coverage of higher-dimensional phenomena than is found in most books at this level.
Book Synopsis The Fast Fourier Transform and Its Applications by : E. Oran Brigham
Download or read book The Fast Fourier Transform and Its Applications written by E. Oran Brigham and published by Pearson. This book was released on 1988 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Fast Fourier Transform (FFT) is a mathematical method widely used in signal processing. This book focuses on the application of the FFT in a variety of areas: Biomedical engineering, mechanical analysis, analysis of stock market data, geophysical analysis, and the conventional radar communications field.
Book Synopsis Fast Fourier Transforms, Second Edition by : James S. Walker
Download or read book Fast Fourier Transforms, Second Edition written by James S. Walker and published by CRC Press. This book was released on 1996-08-22 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of an indispensable text provides a clear treatment of Fourier Series, Fourier Transforms, and FFTs. The unique software, included with the book and newly updated for this edition, allows the reader to generate, firsthand, images of all aspects of Fourier analysis described in the text. Topics covered include :
Book Synopsis Fourier Transforms by : Goran Nikolic
Download or read book Fourier Transforms written by Goran Nikolic and published by BoD – Books on Demand. This book was released on 2017-02-08 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of this book is to provide a modern review about recent advances in Fourier transforms as the most powerful analytical tool for high-tech application in electrical, electronic, and computer engineering, as well as Fourier transform spectral techniques with a wide range of biological, biomedical, biotechnological, pharmaceutical, and nanotechnological applications. The confluence of Fourier transform methods with high tech opens new opportunities for detection and handling of atoms and molecules using nanodevices, with potential for a large variety of scientific and technological applications.
Book Synopsis Fast Fourier Transforms by : James S. Walker
Download or read book Fast Fourier Transforms written by James S. Walker and published by CRC Press. This book was released on 2017-11-22 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of an indispensable text provides a clear treatment of Fourier Series, Fourier Transforms, and FFTs. The unique software, included with the book and newly updated for this edition, allows the reader to generate, firsthand, images of all aspects of Fourier analysis described in the text. Topics covered include :
Book Synopsis The Regularized Fast Hartley Transform by : Keith Jones
Download or read book The Regularized Fast Hartley Transform written by Keith Jones and published by Springer Science & Business Media. This book was released on 2010-03-10 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most real-world spectrum analysis problems involve the computation of the real-data discrete Fourier transform (DFT), a unitary transform that maps elements N of the linear space of real-valued N-tuples, R , to elements of its complex-valued N counterpart, C , and when carried out in hardware it is conventionally achieved via a real-from-complex strategy using a complex-data version of the fast Fourier transform (FFT), the generic name given to the class of fast algorithms used for the ef?cient computation of the DFT. Such algorithms are typically derived by explo- ing the property of symmetry, whether it exists just in the transform kernel or, in certain circumstances, in the input data and/or output data as well. In order to make effective use of a complex-data FFT, however, via the chosen real-from-complex N strategy, the input data to the DFT must ?rst be converted from elements of R to N elements of C . The reason for choosing the computational domain of real-data problems such N N as this to be C , rather than R , is due in part to the fact that computing equ- ment manufacturers have invested so heavily in producing digital signal processing (DSP) devices built around the design of the complex-data fast multiplier and accumulator (MAC), an arithmetic unit ideally suited to the implementation of the complex-data radix-2 butter?y, the computational unit used by the familiar class of recursive radix-2 FFT algorithms.
Book Synopsis An Introduction to Fast Fourier Transform Methods for Partial Differential Equations with Applications by : Morgan Pickering
Download or read book An Introduction to Fast Fourier Transform Methods for Partial Differential Equations with Applications written by Morgan Pickering and published by John Wiley & Sons. This book was released on 1986-11-28 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fast Fourier transform (FFT) methods are well established for solving certain types of partial differential equations (PDE). This book is written at an introductory level with the non-specialist user in mind. It first deals with basic ideas and algorithms which may be used to solve problems using simple geometries--the fast Fourier transform is employed and thorough details of the computations are given for a number of illustrative problems. The text proceeds to problems with irregular boundaries, using the capacity matrix approach, and also to more advanced PDE, for which fast solvers may be used as the basis for iterative methods. The use of a numerical Laplace transform technique for certain time-dependent problems is also covered. Throughout the book, the approach is designed to illustrate the essential ideas of the methods employed. References are given for further reading of more advanced or specialized topics.
Book Synopsis Discrete and Continuous Fourier Transforms by : Eleanor Chu
Download or read book Discrete and Continuous Fourier Transforms written by Eleanor Chu and published by CRC Press. This book was released on 2008-03-19 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Computational Frameworks for the Fast Fourier Transform by : Charles Van Loan
Download or read book Computational Frameworks for the Fast Fourier Transform written by Charles Van Loan and published by SIAM. This book was released on 1992-01-01 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most comprehensive treatment of FFTs to date. Van Loan captures the interplay between mathematics and the design of effective numerical algorithms--a critical connection as more advanced machines become available. A stylized Matlab notation, which is familiar to those engaged in high-performance computing, is used. The Fast Fourier Transform (FFT) family of algorithms has revolutionized many areas of scientific computation. The FFT is one of the most widely used algorithms in science and engineering, with applications in almost every discipline. This volume is essential for professionals interested in linear algebra as well as those working with numerical methods. The FFT is also a great vehicle for teaching key aspects of scientific computing.
Book Synopsis Fast Fourier Transforms by : C. Sidney Burrus
Download or read book Fast Fourier Transforms written by C. Sidney Burrus and published by Lulu.com. This book was released on 2012-11-30 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Mathematics of Multidimensional Fourier Transform Algorithms by : Richard Tolimieri
Download or read book Mathematics of Multidimensional Fourier Transform Algorithms written by Richard Tolimieri and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developing algorithms for multi-dimensional Fourier transforms, this book presents results that yield highly efficient code on a variety of vector and parallel computers. By emphasising the unified basis for the many approaches to both one-dimensional and multidimensional Fourier transforms, this book not only clarifies the fundamental similarities, but also shows how to exploit the differences in optimising implementations. It will thus be of great interest not only to applied mathematicians and computer scientists, but also to seismologists, high-energy physicists, crystallographers, and electrical engineers working on signal and image processing.
Book Synopsis Fast Fourier Transform and Convolution Algorithms by : Henri J. Nussbaumer
Download or read book Fast Fourier Transform and Convolution Algorithms written by Henri J. Nussbaumer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first edition of this book, we covered in Chapter 6 and 7 the applications to multidimensional convolutions and DFT's of the transforms which we have introduced, back in 1977, and called polynomial transforms. Since the publication of the first edition of this book, several important new developments concerning the polynomial transforms have taken place, and we have included, in this edition, a discussion of the relationship between DFT and convolution polynomial transform algorithms. This material is covered in Appendix A, along with a presentation of new convolution polynomial transform algorithms and with the application of polynomial transforms to the computation of multidimensional cosine transforms. We have found that the short convolution and polynomial product algorithms of Chap. 3 have been used extensively. This prompted us to include, in this edition, several new one-dimensional and two-dimensional polynomial product algorithms which are listed in Appendix B. Since our book is being used as part of several graduate-level courses taught at various universities, we have added, to this edition, a set of problems which cover Chaps. 2 to 8. Some of these problems serve also to illustrate some research work on DFT and convolution algorithms. I am indebted to Mrs A. Schlageter who prepared the manuscript of this second edition. Lausanne HENRI J. NUSSBAUMER April 1982 Preface to the First Edition This book presents in a unified way the various fast algorithms that are used for the implementation of digital filters and the evaluation of discrete Fourier transforms.
Book Synopsis Fast Fourier Transform - Algorithms and Applications by : K.R. Rao
Download or read book Fast Fourier Transform - Algorithms and Applications written by K.R. Rao and published by Springer Science & Business Media. This book was released on 2011-02-21 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an introduction to the principles of the fast Fourier transform. This book covers FFTs, frequency domain filtering, and applications to video and audio signal processing. As fields like communications, speech and image processing, and related areas are rapidly developing, the FFT as one of essential parts in digital signal processing has been widely used. Thus there is a pressing need from instructors and students for a book dealing with the latest FFT topics. This book provides thorough and detailed explanation of important or up-to-date FFTs. It also has adopted modern approaches like MATLAB examples and projects for better understanding of diverse FFTs.
Book Synopsis The Fast Fourier Transform by : E. Oran Brigham
Download or read book The Fast Fourier Transform written by E. Oran Brigham and published by Prentice Hall. This book was released on 1974 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fourier transform; Fourier transform properties; Convolution and correlation; Fourier series and sampled waveforms; The discrete fourier transform; Discrete convolutiion and correlation; Applying the discrete fourier transform.
Book Synopsis Fourier-related Transforms, Fast Algorithms, and Applications by : Okan K. Ersoy
Download or read book Fourier-related Transforms, Fast Algorithms, and Applications written by Okan K. Ersoy and published by Prentice Hall. This book was released on 1997 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting an introduction to all Fourier-related transforms, this work includes a number of applications in the different markets. The accompanying disk provides C and Fortran routines that can be implemented.
