Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /
This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different interes...
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| Principais autores: | , |
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| Formato: | Digital |
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| Endereço do item: | http://dx.doi.org/10.1007/978-3-540-77066-4 |
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