Pricing interest-rate derivatives
Subtitle: a Fourier-transform based approach
By: Markus Bouziane.
Series: Lecture notes in economics and mathematical systems -- 607
Publisher: Springer
Published: 2008
Place of publication: Berlin
Language: eng
Number of pages: 193
ISBN-13: 9783540770657
Subjects: Derivative securities -- Prices -- Mathematical models; Interest rates -- Mathematical models
Description: "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.
Notes: Includes bibliographical references (p. [187]-193).