Item description for Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems) by Markus Bouziane...
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.
Promise Angels is dedicated to bringing you great books at great prices. Whether you read for entertainment, to learn, or for literacy - you will find what you want at promiseangels.com!
Est. Packaging Dimensions: Length: 0.5" Width: 6.25" Height: 9.5" Weight: 0.76 lbs.
Release Date Mar 27, 2008
ISBN 3540770658 ISBN13 9783540770657
Availability 116 units. Availability accurate as of Oct 21, 2016 07:58.
Usually ships within one to two business days from La Vergne, TN.
Orders shipping to an address other than a confirmed Credit Card / Paypal Billing address may incur and additional processing delay.