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

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Bibliographic Details
Author / Creator:	Bouziane, Markus.
Imprint:	Berlin : Springer, c2008.
Description:	1 online resource (xxii, 193 p.) : ill.
Language:	English
Series:	Lecture notes in economics and mathematical systems, 0075-8442 ; 607 Lecture notes in economics and mathematical systems ; 607.
Subject:	Derivative securities -- Prices -- Mathematical models. Interest rates -- Mathematical models. Derivative securities -- Prices -- Mathematical models. Interest rates -- Mathematical models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/8885843

Hidden Bibliographic Details
ISBN:	9783540770664 3540770666 9783540770657 3540770658 6611241639 9786611241636
Notes:	Includes bibliographical references (p. [187]-193). Description based on print version record.
Summary:	"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.
Other form:	Print version: Bouziane, Markus. Pricing interest-rate derivatives. Berlin : Springer, c2008 9783540770657 3540770658

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