Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach

by Markus Bouziane

This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different interest-rate derivatives by using contour integration principles, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models.

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Year of publication:	2008
Other Persons:	Bouziane, Markus (contributor)
Publisher:	Berlin : Springer
Subject:	jump-diffusion \| Zinsderivat \| Interest rate derivative \| Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| Zinsstruktur \| Yield curve \| Analysis \| Mathematical analysis \| Theorie \| Theory \| Derivat <Wertpapier> \| Bewertung \| Zinsstrukturtheorie \| Fourier-Transformation
Description of contents:	Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

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Extent:	Online-Ressource (XXII, 193 p., 24 illus, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Hochschulschrift
Language:	English
Notes:	Literaturverz. S. 186 - 192
ISBN:	978-3-540-77066-4 ; 978-3-540-77065-7
Other identifiers:	10.1007/978-3-540-77066-4 [DOI]
Classification:	Investition, Finanzierung ; Methoden und Techniken der Betriebswirtschaft ; Numerische Mathematik ; Harmonische Analyse ; Programmiermethodik
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520918