What is Fourier Transformation and how is it used in Finance?

Thanks a lot to both of you, madmax for your suggestions and especially RedAlert for posting the paper!Stephan

Hi there,I'm (desperately searching for Peter Carr's and Roger Lee's Paper "At-the-Money Implied as A Robust Approximation of the Volatility Swap Rate".Does anybody know where to get it from?Thanks a lot for any hints in advance,Stephan

Hallo erstwhile,Your answer definitely brings me a step further - thanks a lot.I also want to add that all your comments in the other threads on vol-/var-swaps were very valuable and helpful...Best Regards,Stephan

<t>Hi there, Does anyone know how equity correlation/covariance swaps are priced exactly?According an article in Risk the market has become rather liquid and even options on equity correlations are quoted (and sometimes traded).Peter Carr's and Anthony Corso's approach in Commodity Covariance Contra...

<r>Hi there,DavidJN is perfectly right - expected return is positive in CAPM by assumption; the key is market risk premium, which can be negative "ex post" and should (must!?) be modelled via dummy-variables. This could be of interest for you:<URL url="http://www.wiwi.uni-frankfurt.de/schwerpunkte/f...