Pricing interest-rate derivatives

"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.

שנה

2008

שפה

English

סדרה

Lecture notes in economics and mathematical systems -- 607

הוצאה

Springer

מהדורות

2

עמודים

193

ISBN

9783540770657

מקור הנתונים: Wikidata