Pricing Interest-Rate Derivatives [electronic resource] : A Fourier-Transform Based Approach /
Bouziane, Markus.author.
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.
Description based upon print version of record.
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.
Includes bibliographical references (p. [187]-193).
A General Multi-Factor Model of the Term Structure of Interest Rates and the Principles of Characteristic Functions -- Theoretical Prices of European Interest-Rate Derivatives -- Three Fourier Transform-Based Pricing Approaches -- Payoff Transformations and the Pricing of European Interest-Rate Derivatives -- Numerical Computation of Model Prices -- Jump Specifications for Affine Term-Structure Models -- Jump-Enhanced One-Factor Interest-Rate Models -- Jump-Enhanced Two-Factor Interest-Rate Models -- Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity -- Conclusion.
Finance.
Functional analysis.
Economics, Mathematical .
Macroeconomics.
Finance, general.
Functional Analysis.
Quantitative Finance.
Macroeconomics/Monetary Economics//Financial Economics.
Lecture notes in economics and mathematical systems