{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/18601"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/18601","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"The Hilbert Transform and its Applications in Computational finance","abstract":"Made available in DSpace on 2011-01-21T22:51:17Z (GMT). No. of bitstreams: 2 Lin_Xiong.pdf: 1453819 bytes, checksum: 4a028ff8177cb78f4dc10f2a70057b95 (MD5) license.txt: 4056 bytes, checksum: 04b9c765a494d563e13d0380d64f98d9 (MD5)","abstract_html":"Made available in DSpace on 2011-01-21T22:51:17Z (GMT). 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No. of bitstreams: 2 Lin_Xiong.pdf: 1453819 bytes, checksum: 4a028ff8177cb78f4dc10f2a70057b95 (MD5) license.txt: 4056 bytes, checksum: 04b9c765a494d563e13d0380d64f98d9 (MD5)","Item marked as restricted to the 'Administrator' Group (id=1) by William Ingram (wingram2@illinois.edu) on 2011-01-21T22:53:45Z Item is restricted until 2013-01-21T22:53:34Z","Item reinstated by Sarah Shreeves (sshreeve@illinois.edu) on 2013-01-22T11:00:14Z Item was in collections: University of Illinois Dissertations and Theses (ID: 204) Dissertations and Theses - Mathematics (ID: 749) No. of bitstreams: 3 Lin_Xiong.pdf.txt: 248897 bytes, checksum: 62b940186660a7086e1e895f3b5274c4 (MD5) Lin_Xiong.pdf: 1453819 bytes, checksum: 4a028ff8177cb78f4dc10f2a70057b95 (MD5) license.txt: 4056 bytes, checksum: 04b9c765a494d563e13d0380d64f98d9 (MD5)","Item released from any restrictions by Sarah Shreeves (sshreeve@illinois.edu) on 2013-01-22T11:00:14Z","This thesis is devoted to the study of the Hilbert transform and its applications in computational finance. We will show in this thesis that under some mild conditions, the Hilbert transform can be approximated by the discrete Hilbert transforms with exponentially decaying errors in both one dimensional and two dimensional cases. The resulting discrete Hilbert transform can be efficiently implemented using fast Fourier transform. Based on this theory, many effective numerical schemes are developed to price European and American type vanilla and exotic options under various financial assets models.","Item withdrawn by Mark Zulauf (zulauf@illinois.edu) on 2010-08-09T13:36:17Z Item was in collections: University of Illinois Theses & Dissertations (ID: 1) No. of bitstreams: 1 Lin_Xiong.pdf: 1168728 bytes, checksum: b96949565b77045b37ea501ae3fe7b82 (MD5)"]},{"key":"dc:title","label":"Title","values":["The Hilbert Transform and its Applications in Computational finance"]}]}],"canonical_facts":{"dc:contributor":["Feng, Liming","Song, Renming","Bauer, Robert","Sreenivas, Ramavarapu S."],"dc:creator":["Lin, Xiong"],"dc:date":["2011-01-21T22:51:17Z","2013-01-22T11:00:14Z","2010-12"],"dc:description":["Made available in DSpace on 2011-01-21T22:51:17Z (GMT). No. of bitstreams: 2 Lin_Xiong.pdf: 1453819 bytes, checksum: 4a028ff8177cb78f4dc10f2a70057b95 (MD5) license.txt: 4056 bytes, checksum: 04b9c765a494d563e13d0380d64f98d9 (MD5)","Item marked as restricted to the 'Administrator' Group (id=1) by William Ingram (wingram2@illinois.edu) on 2011-01-21T22:53:45Z Item is restricted until 2013-01-21T22:53:34Z","Item reinstated by Sarah Shreeves (sshreeve@illinois.edu) on 2013-01-22T11:00:14Z Item was in collections: University of Illinois Dissertations and Theses (ID: 204) Dissertations and Theses - Mathematics (ID: 749) No. of bitstreams: 3 Lin_Xiong.pdf.txt: 248897 bytes, checksum: 62b940186660a7086e1e895f3b5274c4 (MD5) Lin_Xiong.pdf: 1453819 bytes, checksum: 4a028ff8177cb78f4dc10f2a70057b95 (MD5) license.txt: 4056 bytes, checksum: 04b9c765a494d563e13d0380d64f98d9 (MD5)","Item released from any restrictions by Sarah Shreeves (sshreeve@illinois.edu) on 2013-01-22T11:00:14Z","This thesis is devoted to the study of the Hilbert transform and its applications in computational finance. We will show in this thesis that under some mild conditions, the Hilbert transform can be approximated by the discrete Hilbert transforms with exponentially decaying errors in both one dimensional and two dimensional cases. The resulting discrete Hilbert transform can be efficiently implemented using fast Fourier transform. Based on this theory, many effective numerical schemes are developed to price European and American type vanilla and exotic options under various financial assets models.","Item withdrawn by Mark Zulauf (zulauf@illinois.edu) on 2010-08-09T13:36:17Z Item was in collections: University of Illinois Theses & Dissertations (ID: 1) No. of bitstreams: 1 Lin_Xiong.pdf: 1168728 bytes, checksum: b96949565b77045b37ea501ae3fe7b82 (MD5)"],"dc:identifier":["http://hdl.handle.net/2142/18601"],"dc:language":["en"],"dc:rights":["Copyright 2010 Xiong Lin"],"dc:subject":["Hilbert transform","Fourier transform","Sinc series","Barrier option","Bermudan option","Lookback option"],"dc:title":["The Hilbert Transform and its Applications in Computational finance"],"thesis:degree_discipline":["Mathematics"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:25:11Z"}