Pricing Interest-Rate Derivatives

€ 128,49
Sofort lieferbar
Februar 2008



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.


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.


From the reviews:
"The book is based on author's Ph.D. Thesis entitled 'Pricing Interest - Rate Derivatives with Fourier Transform Techniques'. The main objective of this research work was to derive an efficient and accurate pricing tool for interest rate derivatives within a Fourier transform pricing approach, which is generally applicable to exponential-affine jump-diffusion models. ... the book is very useful for the research workers also in field of the pricing interest rate derivatives. The book is concluded with an exhaustive bibliography on the topic." (C. L. Parihar, Zentralblatt MATH, Vol. 1154, 2009)
EAN: 9783540770657
ISBN: 3540770658
Untertitel: A Fourier-Tranform Based Approach. 'Lecture Notes in Economics and Mathematical Systems'. Auflage 2008. Pb. Sprache: Englisch.
Verlag: Springer-Verlag GmbH
Erscheinungsdatum: Februar 2008
Seitenanzahl: XXII
Format: kartoniert
Es gibt zu diesem Artikel noch keine Bewertungen.Kundenbewertung schreiben