Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach, Paperback / softback Book

Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach Paperback / softback

Part of the Lecture Notes in Economics and Mathematical Systems series

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

  • 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:
  • Category: Investment & securities
  • ISBN: 9783540770657

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