Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach /
By: Bouziane, Markus [author.].
Contributor(s): SpringerLink (Online service).
Material type:
BookSeries: Lecture Notes in Economics and Mathematical Systems: 607Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.Description: XXII, 193 p. 24 illus. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783540770664.Subject(s): Finance | Functional analysis | Economics, Mathematical | Macroeconomics | Finance | Finance, general | Functional Analysis | Quantitative Finance | Macroeconomics/Monetary Economics//Financial EconomicsDDC classification: 332 Online resources: Click here to access online
Contents:
In:
Springer eBooks
A General Multi-Factor Model of the Term Structure of Interest Rates and the Principles of Characteristic Functions -- Theoretical Prices of European Interest-Rate Derivatives -- Three Fourier Transform-Based Pricing Approaches -- Payoff Transformations and the Pricing of European Interest-Rate Derivatives -- Numerical Computation of Model Prices -- Jump Specifications for Affine Term-Structure Models -- Jump-Enhanced One-Factor Interest-Rate Models -- Jump-Enhanced Two-Factor Interest-Rate Models -- Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity -- Conclusion.
| Item type | Current location | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|
E books
|
PK Kelkar Library, IIT Kanpur | Available | EBK7158 |
Total holds: 0
A General Multi-Factor Model of the Term Structure of Interest Rates and the Principles of Characteristic Functions -- Theoretical Prices of European Interest-Rate Derivatives -- Three Fourier Transform-Based Pricing Approaches -- Payoff Transformations and the Pricing of European Interest-Rate Derivatives -- Numerical Computation of Model Prices -- Jump Specifications for Affine Term-Structure Models -- Jump-Enhanced One-Factor Interest-Rate Models -- Jump-Enhanced Two-Factor Interest-Rate Models -- Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity -- Conclusion.
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