Efficient Laplace and Fourier inversions and Wiener-Hopf factorization in financial applications

Sergei Levendorskii (University of Leicester)
Thursday, June 5, 2014 - 5:00pm
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

Appropriate conformal deformations increase the speed and accuracy of calculation of fairly complicated oscillatory integrals in option pricing formulas in many cases when standard approaches are either too slow or
inaccurate or both. When several Laplace and Fourier inversions are needed it is necessary to use a family of contour transformations more flexible than Talbot's deformation of the contour in the Bromwich integral. Further step in a general program of study of the efficiency of combinations of one-dimensional inverse transforms for high-dimensional inversions [Abate-Whitt, Abate-Valko and others].

Among applications: pricing European options in Lévy models, Heston model and more general SV models, pricing options with barrier and lookback features and CDS in Lévy models.