Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach
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Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach
Publisher: Springer | Pages: 193 | 2008-03 | ISBN 3540770658 | PDF | 4 MB
Publisher: Springer | Pages: 193 | 2008-03 | ISBN 3540770658 | PDF | 4 MB
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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