Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems)

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems)


Book Title :Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Lecture Notes in Economics and Mathematical Systems)

This book provides a modular pricing framework which allows the valuation of interestrate derivatives in a general jumpdiffusion setup. Starting with a comparison of three Fourierstyle pricing methodologies, the book covers the derivation of Fouriertransform based solutions for different interestrate derivatives by using contour integration principles, the development of a IFFTbased pricing algorithm, and a detailed analysis of different jumpdiffusion shortrate models.



Author(s) :Markus Bouziane (2008)

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