Pricing interest-rate derivatives
a fourier-transform based approach
- ISBN: 9783540770657
- Editorial: Springer International Publishing AG
- Fecha de la edición: 2008
- Lugar de la edición: Heidelberg. Alemania
- Encuadernación: Rústica
- Medidas: 23 cm
- Nº Pág.: 215
- Idiomas: Inglés
Papel: Rústica
71,00 €
29,95 €
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This book provides a modular pricing framework which allows the valuation of interestrate 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.
