Markus Bouziane
Pricing interest-rate derivatives
Markus Bouziane · 2008
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"This book provides a modular pricing framework which allows the valuation of interest-rate 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."--Jacket.
Book details
- Year
- 2008
- Language
- English
- Series
- Lecture notes in economics and mathematical systems -- 607
- Publisher
- Springer
- Editions
- 2
- Pages
- 193
- ISBN
- 9783540770657
Data source: Wikidata