Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach: A Fourier-tranform Based Approach (Lecture Notes in Economics and Mathematical Systems)

by Markus Bouziane (Author)

• New

  Paperback
  2008

  $105.78

  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.