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: Bouziane, Markus., SpringerLink (Online service)
Formato: Digital
Publicado em:
Assuntos:
Finanças.
Sigilo bancário.
Economia.
Endereço do item:http://dx.doi.org/10.1007/978-3-540-77066-4
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spelling oai:localhost:123456789-1300742023-07-17T15:09:12Z Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach / Bouziane, Markus. SpringerLink (Online service) Finanças. Sigilo bancário. Economia. 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 interest-rate derivatives by using contour integration principles, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models. 0 2022-10-06T07:58:29Z 2022-10-06T07:58:29Z 2008. Digital 336 B782p 9783540770664 198593 http://dx.doi.org/10.1007/978-3-540-77066-4 http://dx.doi.org/10.1007/978-3-540-77066-4
institution Acervo SISBI
collection SIGAA
topic Finanças.
Sigilo bancário.
Economia.
spellingShingle Finanças.
Sigilo bancário.
Economia.
Bouziane, Markus.
SpringerLink (Online service)
Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /
description 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 interest-rate derivatives by using contour integration principles, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models.
format Digital
author Bouziane, Markus.
SpringerLink (Online service)
author_facet Bouziane, Markus.
SpringerLink (Online service)
author_sort Bouziane, Markus.
title Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /
title_short Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /
title_full Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /
title_fullStr Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /
title_full_unstemmed Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /
title_sort pricing interest-rate derivatives a fourier-transform based approach /
publishDate 2022
url http://dx.doi.org/10.1007/978-3-540-77066-4
work_keys_str_mv AT bouzianemarkus pricinginterestratederivativesafouriertransformbasedapproach
AT springerlinkonlineservice pricinginterestratederivativesafouriertransformbasedapproach
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