Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach
Markus Bouziane
Mar 2008 · Lecture Notes in Economics and Mathematical SystemsBook 607 · Springer Science & Business Media
Ebook
193
Pages
Sample
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About this ebook
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.
Series
Business & investing
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