Efficient variations of the Fourier transform in applications to option pricing

2014 ◽  
Vol 18 (2) ◽  
pp. 57-90 ◽  
Author(s):  
Svetlana Boyarchenko ◽  
Sergei Levendorski˘ı
Keyword(s):  
Fourier Transform ◽  
Option Pricing ◽  
The Fourier Transform

Multi-Asset Option Pricing Based on Exponential Lévy Process

2013 ◽  
Vol 380-384 ◽  
pp. 4537-4540
Author(s):  
Nan Liu ◽  
Mei Ling Wang ◽  
Xue Bin Lü
Keyword(s):  
Differential Equation ◽  
Fourier Transform ◽  
Option Pricing ◽  
Numerical Method ◽  
Martingale Measure ◽  
Esscher Transform ◽  
Equivalent Martingale Measure ◽  
Integro Differential Equation ◽  
Equivalent Martingale ◽  
The Fourier Transform

The multi-dimensional Esscher transform was used to find a locally equivalent martingale measure to price the options based on multi-asset. An integro-differential equation was driven for the prices of multi-asset options. The numerical method based on the Fourier transform was used to calculate some special multi-asset options in exponential Lévy models. As an example we give the calculation of extreme options.

scholarly journals Strain Sensitivity Enhancement of Broadband Ultrasonic Signals in Plates Using Spectral Phase Filtering

2021 ◽  
Vol 11 (6) ◽  
pp. 2582
Author(s):  
Lucas M. Martinho ◽  
Alan C. Kubrusly ◽  
Nicolás Pérez ◽  
Jean Pierre von der Weid
Keyword(s):  
Fourier Transform ◽  
Guided Waves ◽  
Strain Level ◽  
Energy Concentration ◽  
Short Time Fourier Transform ◽  
Time Frequency ◽  
Frequency Representation ◽  
The Fourier Transform ◽  
Short Time ◽  
Sensitivity Gain

The focused signal obtained by the time-reversal or the cross-correlation techniques of ultrasonic guided waves in plates changes when the medium is subject to strain, which can be used to monitor the medium strain level. In this paper, the sensitivity to strain of cross-correlated signals is enhanced by a post-processing filtering procedure aiming to preserve only strain-sensitive spectrum components. Two different strategies were adopted, based on the phase of either the Fourier transform or the short-time Fourier transform. Both use prior knowledge of the system impulse response at some strain level. The technique was evaluated in an aluminum plate, effectively providing up to twice higher sensitivity to strain. The sensitivity increase depends on a phase threshold parameter used in the filtering process. Its performance was assessed based on the sensitivity gain, the loss of energy concentration capability, and the value of the foreknown strain. Signals synthesized with the time–frequency representation, through the short-time Fourier transform, provided a better tradeoff between sensitivity gain and loss of energy concentration.

Determination of starch crystallinity with the Fourier-transform terahertz spectrometer

2021 ◽  
Vol 262 ◽  
pp. 117928
Author(s):  
Shusaku Nakajima ◽  
Shuhei Horiuchi ◽  
Akifumi Ikehata ◽  
Yuichi Ogawa
Keyword(s):  
Fourier Transform ◽  
The Fourier Transform ◽  
Starch Crystallinity

Translation uniqueness of phase retrieval and magnitude retrieval of band-limited signals

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Lung-Hui Chen
Keyword(s):  
Fourier Transform ◽  
Entire Function ◽  
Convex Hull ◽  
Scattering Theory ◽  
Phase Retrieval ◽  
Indicator Function ◽  
Band Limited ◽  
The Fourier Transform ◽  
Complex Valued ◽  
Spectral Invariant

Abstract In this paper, we discuss how to partially determine the Fourier transform F ⁢ ( z ) = ∫ - 1 1 f ⁢ ( t ) ⁢ e i ⁢ z ⁢ t ⁢ 𝑑 t , z ∈ ℂ , F(z)=\int_{-1}^{1}f(t)e^{izt}\,dt,\quad z\in\mathbb{C}, given the data | F ⁢ ( z ) | {\lvert F(z)\rvert} or arg ⁡ F ⁢ ( z ) {\arg F(z)} for z ∈ ℝ {z\in\mathbb{R}} . Initially, we assume [ - 1 , 1 ] {[-1,1]} to be the convex hull of the support of the signal f. We start with reviewing the computation of the indicator function and indicator diagram of a finite-typed complex-valued entire function, and then connect to the spectral invariant of F ⁢ ( z ) {F(z)} . Then we focus to derive the unimodular part of the entire function up to certain non-uniqueness. We elaborate on the translation of the signal including the non-uniqueness associates of the Fourier transform. We show that the phase retrieval and magnitude retrieval are conjugate problems in the scattering theory of waves.

scholarly journals Convolutors on $${\mathcal S}_{\omega }({\mathbb R}^N)$$

2021 ◽  
Vol 115 (4) ◽  
Author(s):  
Angela A. Albanese ◽  
Claudio Mele
Keyword(s):  
Fourier Transform ◽  
Dual Space ◽  
Strong Operator ◽  
Dual Spaces ◽  
Structure Theorems ◽  
The Fourier Transform ◽  
Decreasing Functions

AbstractIn this paper we continue the study of the spaces $${\mathcal O}_{M,\omega }({\mathbb R}^N)$$ O M , ω ( R N ) and $${\mathcal O}_{C,\omega }({\mathbb R}^N)$$ O C , ω ( R N ) undertaken in Albanese and Mele (J Pseudo-Differ Oper Appl, 2021). We determine new representations of such spaces and we give some structure theorems for their dual spaces. Furthermore, we show that $${\mathcal O}'_{C,\omega }({\mathbb R}^N)$$ O C , ω ′ ( R N ) is the space of convolutors of the space $${\mathcal S}_\omega ({\mathbb R}^N)$$ S ω ( R N ) of the $$\omega $$ ω -ultradifferentiable rapidly decreasing functions of Beurling type (in the sense of Braun, Meise and Taylor) and of its dual space $${\mathcal S}'_\omega ({\mathbb R}^N)$$ S ω ′ ( R N ) . We also establish that the Fourier transform is an isomorphism from $${\mathcal O}'_{C,\omega }({\mathbb R}^N)$$ O C , ω ′ ( R N ) onto $${\mathcal O}_{M,\omega }({\mathbb R}^N)$$ O M , ω ( R N ) . In particular, we prove that this isomorphism is topological when the former space is endowed with the strong operator lc-topology induced by $${\mathcal L}_b({\mathcal S}_\omega ({\mathbb R}^N))$$ L b ( S ω ( R N ) ) and the last space is endowed with its natural lc-topology.

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