Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach

Product Description

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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Product Details Paperback: 193 pages Publisher: Springer; 1 edition (March 27, 2008) Language: English ISBN-10: 3540770658 ISBN-13: 978-3540770657 Product Dimensions: 9.2 x 6.1 x 0.6 inches Shipping Weight: 12.6 ounces (View shipping rates and policies) Average Customer Review: No customer reviews yet. Be the first.