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Pricing Interest-Rate Derivatives

- A Fourier-Transform Based Approach

Bag om Pricing Interest-Rate Derivatives

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 jump-diffusion models.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540770657
  • Indbinding:
  • Paperback
  • Sideantal:
  • 193
  • Udgivet:
  • 21. februar 2008
  • Udgave:
  • 2008
  • Størrelse:
  • 234x156x11 mm.
  • Vægt:
  • 700 g.
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Leveringstid: 8-11 hverdage
Forventet levering: 16. januar 2025

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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 jump-diffusion models.

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