01017nam a2200169Ia 4500008004100000020001800041082001300059100002100072245009300093260002700186300001700213365001500230440006500245520048500310650002600795650002600821140323b2008 xxu||||| |||| 00| 0 eng d a9783540770657 a332.6323 aBouziane, Markus aPricing interest-rate derivatives: a Fourier-transform based approach cBouziane, Markus aBerlinbSpringerc2008 axxii, 193 p. bUKP 64.95 aLecture Notes in Economics and Mathematical Systems, no. 607 aThis 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. aInterest rate futures aDerivative securities