الصفحة 1
الصفحة 1
Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach
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.
Martingale Methods in Financial Modelling
This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included. This model setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of the general theory of arbitrage pricing is presented. The second part of the text is devoted to the term structure modelling and the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice.
