Fourier Transform Methods in Finance

“Fourier Transform Methods in Finance is rigorous, instructive, and loaded with useful examples. The authors have synthesized everything from the necessary underlying elements of complex analysis up through methods for derivative pricing. Almost anyone doing research or business applications in this area will want their own copy.”

—Professor Darrell Duffie, Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University

“This excellent book is a selection of ready-to-use Fourier transform methods applied to option pricing and calibration, a technique that is indispensable today across different asset classes in a non Gaussian world.”

—Hélyette Geman, Professor of Finance, Birkbeck College, University of London & ESCP Europe