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

Author: Markus Bouziane
Publisher: Berlin : Springer, ©2008.
Series: Lecture notes in economics and mathematical systems, 607.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Bouziane, Markus.
Pricing interest-rate derivatives.
Berlin : Springer, ©2008
(DLC) 2008920679
(OCoLC)191760121
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Markus Bouziane
ISBN: 9783540770664 3540770666 9783540770657 3540770658 9786611241636 6611241639
OCLC Number: 261324898
Description: 1 online resource (xxii, 193 pages) : illustrations.
Contents: Introduction --
A General Multi-Factor Model and the Principles of Characteristic Functions --
Theoretical Prices of European Interest-Rate Derivatives --
Three Fourier Transform-Based Pricing Approaches --
Payoff Transformations and the Pricing of European Interest-Rate Derivatives --
Numerical Computation of Model Prices --
Jump Specifications for Affine Term-Strucutre Models --
Jump-Enhanced One-Factor Interest-Rate Models --
Jump-Enhanced Two-Factor Interest-Rate Models --
Non-Affine and Stochastic Jump Intensity Term-Structure --
Conclusion.
Series Title: Lecture notes in economics and mathematical systems, 607.
Responsibility: Markus Bouziane.

Abstract:

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine  Read more...

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From the reviews:"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 Read more...

 
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