Pricing interest-rate derivatives: a Fourier-transform based approach Bouziane, Markus

By: Bouziane, Markus
Material type: TextTextSeries: Lecture Notes in Economics and Mathematical Systems, no. 607Publisher: Berlin Springer 2008Description: xxii, 193 p.ISBN: 9783540770657Subject(s): Interest rate futures | Derivative securitiesDDC classification: 332.6323 Summary: 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.
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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.

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