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Title: | Shannon wavelets inverse Fourier technique for computacional finance |
Author: | Garcı́a Villa, Felipe |
Director/Tutor: | Ortiz Gracia, Luis Vives i Santa Eulàlia, Josep, 1963- |
Keywords: | Espais de Hilbert Ondetes (Matemàtica) Treballs de fi de màster Distribució (Teoria de la probabilitat) Matemàtica financera Mètode de Montecarlo Opcions (Finances) Hilbert space Wavelets (Mathematics) Master's theses Distribution (Probability theory) Business mathematics Monte Carlo method Options (Finance) |
Issue Date: | 11-Sep-2018 |
Abstract: | [en] European options are financial derivatives, governed by the solution of an integral, the so-called discounted expectation of the pay-off function. For the computation of the expectation we require knowledge about the probability density function of the stochastic asset price process, which is typically available by its Fourier transform. In this project, we will explore wavelets theory to be able to construct the Shannon wavelets and use them to describe the density function. Also, a numerical method proposed by Luis Ortiz-Gracia and Cornelis W. Oosterlee to price these derivatives will be presented. This is called SWIFT (Shannon wavelet inverse Fourier technique). |
Note: | Treballs finals del Màster en Matemàtica Avançada, Facultat de matemàtiques, Universitat de Barcelona, Any: 2018, Director: Luis Ortiz Gracia i Josep Vives i Santa Eulàlia |
URI: | http://hdl.handle.net/2445/129546 |
Appears in Collections: | Màster Oficial - Matemàtica Avançada |
Files in This Item:
File | Description | Size | Format | |
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memoria.pdf | Memòria | 879.45 kB | Adobe PDF | View/Open |
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