Pricing Interest-Rate Derivatives

A Fourier-Transform Based Approach

• Author(s): Markus Bouziane,
• Publisher: Springer Science & Business Media
• Pages: 193
• ISBN_10: 3540770666
  ISBN_13: 9783540770664
  
• Language: en
• Categories: Business & Economics / Finance / General , Mathematics / Functional Analysis , Mathematics / Applied , Business & Economics / Economics / Macroeconomics , Business & Economics / General , Business & Economics / Accounting / General ,

Description:...

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.