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

Bok av Markus Bouziane
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.
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Pricing Interest-Rate Derivatives : A Fourier-Transform Based ApproachEngelska - E-bok
ISBN: 9783540770664
Pricing Interest-Rate Derivatives : A Fourier-Transform Based ApproachEngelska - Pocket
ISBN: 9783540770657
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