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
