Transactions of the American Mathematical Society, Vol. 366, No. 12 (DECEMBER 2014), pp. 6229-6245 (17 pages) The classical Riemann localization principle states that if an integrable function of one ...

In this article, we derive a series expansion of the multivariate normal probability integrals based on Fourier series. The basic idea is to transform the limits of each integral from hi to ∞ to be ...

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 ...

We present the main mathematical analysis and tools needed to finally cap a successful filter design. First we should recall our hazy ‘Fourier Series’ high school class. Fourier analysis is often ...