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© 2008

Pricing Interest-Rate Derivatives

A Fourier-Transform Based Approach

Book

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 607)

About this book

Keywords

Fourier transform Fourier-based Pricing Methods Interest-Rate Derivatives Jump-Diffusions Option Pricing Random Jumps Short-Rate Models fast Fourier transform fast Fourier transform (FFT)

Authors and affiliations

  1. 1.Landesbank Baden-WürttembergStuttgartGermany

Bibliographic information

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Reviews

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)