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Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach de Markus Bouziane

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach: Lecture Notes in Economics and Mathematical Systems, cartea 607

Autor Markus Bouziane
en Limba Engleză Paperback – 21 feb 2008

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Specificații

ISBN-13: 9783540770657
ISBN-10: 3540770658
Pagini: 220
Ilustrații: XXII, 193 p. 24 illus.
Dimensiuni: 155 x 235 x 13 mm
Greutate: 0.31 kg
Ediția:2008
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Lecture Notes in Economics and Mathematical Systems

Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Professional/practitioner

Cuprins

A General Multi-Factor Model of the Term Structure of Interest Rates 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-Structure Models.- Jump-Enhanced One-Factor Interest-Rate Models.- Jump-Enhanced Two-Factor Interest-Rate Models.- Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity.- Conclusion.

Recenzii

From the reviews:
"The book is based on author’s Ph.D. Thesis entitled ‘Pricing Interest – Rate Derivatives with Fourier Transform Techniques’. The main objective of this research work was to derive an efficient and accurate pricing tool for interest rate derivatives within a Fourier transform pricing approach, which is generally applicable to exponential-affine jump-diffusion models. … the book is very useful for the research workers also in field of the pricing interest rate derivatives. The book is concluded with an exhaustive bibliography on the topic." (C. L. Parihar, Zentralblatt MATH, Vol. 1154, 2009)