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.
| ISBN-13: | 9783540770657 |
| ISBN-10: | 3540770658 |
| Publisher: | Springer Berlin Heidelberg |
| Publication date: | 2008-02-21 |
| Edition description: | 2008 |
| Pages: | 193 |
| Product dimensions: | Height: 9.25 Inches, Length: 6.1 Inches, Weight: 0.697 Pounds, Width: 0.5 Inches |
| Author: | Markus Bouziane |
| Language: | en |
| Binding: | Paperback |
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