Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach Paperback / softback
Part of the Lecture Notes in Economics and Mathematical Systems series
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.
- Format: Paperback / softback
- Pages: 193 pages, 15 Tables, black and white; 24 Illustrations, black and white; XXII, 193 p. 24 illus.
- Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Publication Date: 21/02/2008
- Category: Investment & securities
- ISBN: 9783540770657
- PDF from £84.58