ENGLISH

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach

By Dr. Markus Bouziane (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2008
ISBN
978-3-540-77065-7, 978-3-540-77066-4
DOI
10.1007/978-3-540-77066-4
Language
english
Format
PDF
Filesize
5 MB (4913670 bytes)
Series
Lecture Notes in Economics and Mathematical Systems 607
Edition
1
Pages
193\206
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Finance /Banking; Quantitative Finance; Financial

Description

From the reviews: "The book is based on author’s Ph.D. Thesis entitled ‘Pricing Interest – Rate Derivatives with Fourier Transform Techniques’. The main objective of this research work was to derive an efficient and accurate pricing tool for interest rate derivatives within a Fourier transform pricing approach, which is generally applicable to exponential-affine jump-diffusion models. … the book is very useful for the research workers also in field of the pricing interest rate derivatives. The book is concluded with an exhaustive bibliography on the topic." (C. L. Parihar, Zentralblatt MATH, Vol. 1154, 2009)

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