Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach - Lecture Notes in Economics and Mathematical Systems - Markus Bouziane - Books - Springer-Verlag Berlin and Heidelberg Gm - 9783540770657 - February 21, 2008
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Markus Bouziane
Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach - Lecture Notes in Economics and Mathematical Systems 2008 edition

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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.

193 pages, 24 black & white illustrations, 15 black & white tables, biography

Media Books     Paperback Book   (Book with soft cover and glued back)
Released February 21, 2008
ISBN13 9783540770657
Publishers Springer-Verlag Berlin and Heidelberg Gm
Pages 193
Dimensions 155 × 235 × 11 mm   ·   312 g
Language English  

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