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Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (2008)

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (2008)

by Bouziane, Markus
No customer reviews yet ISBN 9783540770657 Springer

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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BrandSpringer
Pub dateFeb 21, 2008
ISBN-103540770658
ISBN-139783540770657
LanguageEnglish
Dimensions9.25 × 0.5 × 6.1 in
Weight2 lb
Last updated 2026-06-16 10:36
$114.64
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