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Pricing Interest-Rate Derivatives

A Fourier-Transform Based Approach
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Description

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.
Release date Australia
February 21st, 2008
Audience
  • Professional & Vocational
Illustrations
24 Illustrations, black and white; XXII, 193 p. 24 illus.
Pages
193
Dimensions
156x234x11
ISBN-13
9783540770657
Product ID
2109448

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