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Pricing interest-rate derivatives: a Fourier-transform based approach

By: Material type: TextTextSeries: Lecture Notes in Economics and Mathematical Systems, no. 607Publication details: Berlin Springer 2008Description: xxii, 193 pISBN:
  • 9783540770657
Subject(s): DDC 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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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 19-B / Slot 717 (0 Floor, West Wing) General Stacks 332.6323 B6P7 (Browse shelf(Opens below)) Available 164953

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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