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Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems) [Paperback]

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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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Item Specifications...


Pages   193
Est. Packaging Dimensions:   Length: 0.5" Width: 6.25" Height: 9.5"
Weight:   0.76 lbs.
Binding  Softcover
Release Date   Mar 30, 2008
Publisher   Springer
ISBN  3540770658  
ISBN13  9783540770657  


Availability  0 units.


More About Markus Bouziane, Sandor Zoltan Nemeth, Pamela Vittorio, Jan Forstrom, Marta Pitt, Pat McEown, Glenn Barr & Kevin Nowlan


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1Books > Special Features > New & Used Textbooks > Business & Finance > Economics > Microeconomics
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10Books > Subjects > Professional & Technical > Professional Science > Mathematics > Mathematical Analysis
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12Books > Subjects > Science > Mathematics > Pure Mathematics > Calculus



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