Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach PDF
by Markus Bouziane
Part of the Lecture Notes in Economics and Mathematical Systems series
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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.
Information
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Download - Immediately Available
- Format:PDF
- Publisher:Springer Berlin Heidelberg
- Publication Date:18/03/2008
- Category:
- ISBN:9783540770664
Other Formats
- Paperback / softback from £81.69
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Springer Berlin Heidelberg
- Publication Date:18/03/2008
- Category:
- ISBN:9783540770664
