Pricing interest-rate derivatives: a Fourier-transform based approach
Bouziane, Markus
creator
text
xxu
Berlin
Springer
2008
monographic
eng
xxii, 193 p.
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.
Bouziane, Markus
Interest rate futures
Derivative securities
332.6323
Lecture Notes in Economics and Mathematical Systems, no. 607
9783540770657
140323