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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 607)
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Table of contents (11 chapters)
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Front Matter
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Back Matter
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)
Authors and Affiliations
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Landesbank Baden-Württemberg, Stuttgart, Germany
Markus Bouziane
Bibliographic Information
Book Title: Pricing Interest-Rate Derivatives
Book Subtitle: A Fourier-Transform Based Approach
Authors: Markus Bouziane
Series Title: Lecture Notes in Economics and Mathematical Systems
DOI: https://doi.org/10.1007/978-3-540-77066-4
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2008
Softcover ISBN: 978-3-540-77065-7Published: 21 February 2008
eBook ISBN: 978-3-540-77066-4Published: 18 March 2008
Series ISSN: 0075-8442
Series E-ISSN: 2196-9957
Edition Number: 1
Number of Pages: XXII, 193
Number of Illustrations: 24 b/w illustrations
Topics: Finance, general, Functional Analysis, Quantitative Finance, Macroeconomics/Monetary Economics//Financial Economics