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

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

Saved in:
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

Similar Items

Similar Items