TY - BOOK
AU - Bouziane, Markus
TI - Pricing interest-rate derivatives: a Fourier-transform based approach
SN - 9783540770657
U1 - 332.6323
PY - 2008///
CY - Berlin
PB - Springer
KW - Interest rate futures
KW - Derivative securities
N2 - 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
ER -