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This book provides a modular pricing framework which allows the valuation of interest-rate derivativ...
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Libristo code: 01569657
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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.
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About the book
Full name
Pricing Interest-Rate Derivatives
Author
Markus Bouziane
Language
English
English
Binding
Book - Paperback
Date of issue
2008
Number of pages
193
EAN
9783540770657
ISBN
3540770658
Libristo code
01569657
Weight
700
Dimensions
155 x 235 x 13
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