The aim of this paper is to show the benefit of applying a three-dimensional Fourier cosine series expansion method in order to price and hedge multiasset spread options. The approach consists of ...

Here’s a really quick video which takes a different approach to understanding the Fourier Series than we’re used to. If you’re a regular reader we’re sure you’ve heard of the Fourier Series (often ...

Over at Quanta Magazine [Shalma Wegsman] asks What Is the Fourier Transform? [Shalma] begins by telling you a little about Joseph Fourier, the French mathematician with an interest in heat propagation ...

A mathematical theorem stating that a PERIODIC function f(x) which is reasonably continuous may be expressed as the sum of a series of sine or cosine terms (called the Fourier series), each of which ...