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Pricing Interest-Rate Derivatives - A Fourier-Transform Based Approach. Lecture Notes in Economics and Mathematical Systems, Volume 607. (Electronic book text)
Pricing Interest-Rate Derivatives - A Fourier-Transform Based Approach. Lecture Notes in Economics and Mathematical Systems,...
Pricing Interest-Rate Derivatives - A Fourier-Transform Based Approach. Lecture Notes in Economics and Mathematical Systems,...

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Pricing Interest-Rate Derivatives - A Fourier-Transform Based Approach. Lecture Notes in Economics and Mathematical Systems, Volume 607. (Electronic book text)

Markus Bouziane

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This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different interest-rate derivatives by using contour integration principles, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models.

General

Imprint: Springer
Country of origin: United States
Release date: 2008
Authors: Markus Bouziane
Format: Electronic book text
Pages: 207
ISBN-13: 978-6611241636
Barcode: 9786611241636
Categories: Promotions
Books > Business & Economics > Finance & accounting > Finance
Books > Business & Economics > Finance & accounting > Finance > General
Books > Money & Finance > General
Books > Social sciences > Sociology, social studies > Social issues
Books > Social sciences > Sociology, social studies > Social issues > General
LSN: 6611241639

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