Title: Pricing interest-rate derivatives
First published: 2008
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.
Subjects: Mathematical models, Prices, Derivative securities, Interest rates
LC classification: HG6024.A3 B68 2008