Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems)
By Markus Bouziane
    * Publisher: Springer
    * Number Of Pages: 193
    * Publication Date: 2008-03  
This book provides a modular pricing framework which allows thevaluation of interest-rate derivatives in a general jump-diffusionsetup. Starting with a comparison of three Fourier-style pricingmethodologies, the book covers the derivation of Fourier-transformbased solutions for different interest-rate derivatives by usingcontour integration principles, the development of a IFFT-based pricingalgorithm, and a detailed analysis of different jump-diffusionshort-rate models.