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Pricing Interest-rate Derivatives
Markus Bouziane
€ 120.64
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Description for Pricing Interest-rate Derivatives
Paperback. 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. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 215 pages, 24 black & white illustrations, 15 black & white tables, biography. BIC Classification: KFFM; PBKF. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 11. Weight in Grams: 700.
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.
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.
Product Details
Format
Paperback
Publication date
2008
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
215
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
193
Place of Publication
Berlin, Germany
ISBN
9783540770657
SKU
V9783540770657
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Pricing Interest-rate Derivatives
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. ... Read more