Pricing interest-rate derivatives: a fourier-tranform based approach
Bouziane, M.
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. INDICE: Introduction. A General Multi-Factor Model and the Principles of Characteristic Functions. Theoretical Prices of European Interest-Rate Derivatives. Three Fourier Transform-Based Pricing Approaches. Payoff Transformations and the Pricing of European Interest-Rate Derivatives. Numerical Computation of Model Prices. Jump Specifications for Affine Term-Strucutre Models. Jump-Enhanced One-Factor Interest-Rate Models. Jump-Enhanced Two-Factor Interest-Rate Models. Non-Affine and Stochastic Jump Intensity Term-Structure. Conclusion.
- ISBN: 978-3-540-77065-7
- Editorial: Springer
- Encuadernacion: Rústica
- Páginas: 205
- Fecha Publicación: 01/02/2008
- Nº Volúmenes: 1
- Idioma: Inglés