Pricing Interest-Rate Derivatives
Publication year: 2008
ISBN: 978-3-540-77066-4
Internet Resource: Please Login to download book
The book is based on author’s Ph.D. Thesis entitled ‘Pricing Interest – Rate Derivatives with Fourier Transform Techniques’. The main objective of this research work was to derive an efficient and accurate pricing tool for interest rate derivatives within a Fourier transform pricing approach, which is generally applicable to exponential-affine jump-diffusion models. … the book is very useful for the research workers also in field of the pricing interest rate derivatives. The book is concluded with an exhaustive bibliography on the topic.
Subject: Business and Economics, Fourier transform, Fourier-based Pricing Methods, Interest-Rate Derivatives, Jump-Diffusions, Option Pricing, Random Jumps, Short-Rate Models, fast Fourier transform, fast Fourier transform (FFT), quantitative finance
