Pricing interest-rate derivatives: a Fourier-transform based approach (Record no. 63588)

000 -LEADER
fixed length control field 01383nam a2200217Ia 4500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 140323b2008 xxu||||| |||| 00| 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9783540770657
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.6323
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Bouziane, Markus
9 (RLIN) 65786
245 ## - TITLE STATEMENT
Title Pricing interest-rate derivatives: a Fourier-transform based approach
Statement of responsibility, etc. Bouziane, Markus
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc. Berlin
Name of publisher, distributor, etc. Springer
Date of publication, distribution, etc. 2008
300 ## - PHYSICAL DESCRIPTION
Extent xxii, 193 p.
365 ## - TRADE PRICE
Price amount UKP 64.95
440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE
Title Lecture Notes in Economics and Mathematical Systems, no. 607
9 (RLIN) 65787
520 ## - SUMMARY, ETC.
Summary, etc. This book provides a modular pricing framework which allows the valuation of interestrate 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.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Interest rate futures
9 (RLIN) 47665
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Derivative securities
9 (RLIN) 20830
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Books
952 ## - LOCATION AND ITEM INFORMATION (KOHA)
-- 00064.95
-- EUR
-- 2008-04-28
-- Kushal Books
-- 00270679
-- 2008-03-29
-- IN 17
-- 2008-04-28
-- F
-- 004319.17
-- 20.00%
-- 00000.00
-- Prof. A K Laha
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Permanent Location Current Location Shelving location Date acquired Item location Full call number Barcode Date last seen Price effective from Koha item type
          Vikram Sarabhai Library Vikram Sarabhai Library   04/05/2009 Slot 703 (0 Floor, West Wing) 332.6323 B6P7 164953 04/09/2009 04/09/2009 Books

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