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.
| ISBN: | 9783540770657 |
| Publication date: | 21st February 2008 |
| Author: | Markus Bouziane |
| Publisher: | Springer an imprint of Springer Berlin Heidelberg |
| Format: | Paperback |
| Pagination: | 193 pages |
| Series: | Lecture Notes in Economics and Mathematical Systems |
| Genres: |
Finance and the finance industry Functional analysis and transforms Applied mathematics Macroeconomics Economics, Finance, Business and Management |