Pricing interest-rate derivatives : a Fourier-transform based approach / Markus Bouziane.
"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 i...
Saved in:
| Main Author: | |
|---|---|
| Format: | Ebook |
| Language: | English |
| Published: |
Berlin :
Springer,
[2008]
|
| Series: | Lecture notes in economics and mathematical systems ;
607. |
| Subjects: | |
| Online Access: | Springer eBooks |
| Summary: | "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."--Jacket. |
|---|---|
| Physical Description: | 1 online resource (xxii, 193 pages) : illustrations. |
| Format: | Mode of access: World Wide Web. |
| Bibliography: | Includes bibliographical references. |
| ISBN: | 1281241636 3540770658 3540770666 9781281241634 9783540770657 9783540770664 |
| ISSN: | 0075-8442 ; |