Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach /

• Main Author: Bouziane, Markus (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Series: Lecture Notes in Economics and Mathematical Systems, 607
• Subjects: Finance.; Functional analysis.; Economics, Mathematical.; Macroeconomics.; Finance, general.; Functional Analysis.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.

Table of Contents:

• 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.