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Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems)

Name: Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems)
Author: Markus Bouziane
ISBN: 9783540770657

AuthorMarkus Bouziane

PublisherSpringer

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Book Details

Author(s)Markus Bouziane

PublisherSpringer

ISBN / ASIN3540770658

ISBN-139783540770657

AvailabilityUsually ships in 24 hours

Sales Rank4,697,864

MarketplaceUnited States 🇺🇸

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.