Customer Reviews

Fourier Transform Methods in Finance (The Wiley Finance Series)

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Well, to be honest it unpleasant to read. Everything is presented in an extremely non-rigorous form. Some statements are even questionable. This book really needs to be revised. The approach of generalized functions is promising and works. But please - this is not trivial. You must take some care about convergence and the like. They thought so much about writing for practitioners so they forgot: Practitioners are also mathematicians who want to be convinced.
Besides: Only 1/4 of this book is new and worth reading. The rest is known stuff you can find in other books, which is well known and not worth writing yet another finance book. I think a neat and clean paper would have been the better choice.

This book is extremely difficult to read and understand for this individual with a graduate degree in Electrical Engineering in Signal processing. The authors propose probabilistic models and incorporate Fourier Transforms. Had the authors performed a Fourier transform to any market traded, they would have quickly determined the market is NOT random. The authors do not show how their portfolios performed over time using their model. AVOID THIS BOOK.