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Pricing of derivative components of structured products with methods based on Fourier transforms: state of the art and perspectives

Pricing of derivative components of structured products with methods based on Fourier transforms: state of the art and perspectives

10 October 2006

10 October 2006

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Tag:
structured products, Savoy cabbage, quantitative finance, Alpha, volatility, Boie, probabilistic scenario, Carr-Madan, Fourier Transform, Fft, garch, Text translated automatically, Gauss, 11972, mutual fund, Marcello Minenna, Newton-Cotes, quadrature, probability measure, risk books