Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach | EKB DL

Home BookPricing Interest-Rate Derivatives A Fourier-Transform Based Approach

Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach

Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach

Description

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.

Keywords

Business & EconomicsFinanceMathematicsFunctional AnalysisAccountingMoney & Monetary Policy

2008Book

Author(s)Markus Bouziane

PublisherSpringer Berlin Heidelberg

ISBN9783540770657

LanguageEnglish

Similar Books

Pricing of Bond Options Unspanned Stochastic Volatility and Random Field Models

Pricing of Bond Options Unspanned Stochastic Volatility and Random Field Models

Pricing of Derivatives on Mean-Reverting Assets

Pricing of Derivatives on Mean-Reverting Assets

Term-Structure Models A Graduate Course

Term-Structure Models A Graduate Course

Modular Pricing of Options

Modular Pricing of Options

Interest Rate Modelling

Interest Rate Modelling

Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis

Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis

Applications of Fourier Transform to Smile Modeling Theory and Implementation

Applications of Fourier Transform to Smile Modeling Theory and Implementation

Interest Rate Modeling: Post-Crisis Challenges and Approaches

Interest Rate Modeling: Post-Crisis Challenges and Approaches

New Methods in Fixed Income Modeling Fixed Income Modeling

New Methods in Fixed Income Modeling Fixed Income Modeling

Topics in Numerical Methods for Finance

Topics in Numerical Methods for Finance