Item description for Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems) by Markus Bouziane, Sandor Zoltan Nemeth, Pamela Vittorio, Jan Forstrom, Marta Pitt, Pat McEown, Glenn Barr & Kevin Nowlan...
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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Est. Packaging Dimensions: Length: 0.5" Width: 6.25" Height: 9.5" Weight: 0.76 lbs.
Release Date Mar 30, 2008
ISBN 3540770658 ISBN13 9783540770657
Availability 0 units.
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