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)
Author(s): Dr. Markus Bouziane (auth.)
Series: Lecture Notes in Economics and Mathematical Systems 607
Edition: 1
Publisher: Springer-Verlag Berlin Heidelberg
Year: 2008
Language: English
Pages: 193
Tags: Finance /Banking; Quantitative Finance; Financial Economics
Front Matter....Pages I-XXII
Introduction....Pages 1-5
A General Multi-Factor Model of the Term Structure of Interest Rates and the Principles of Characteristic Functions....Pages 7-30
Theoretical Prices of European Interest-Rate Derivatives....Pages 31-44
Three Fourier Transform-Based Pricing Approaches....Pages 45-68
Payoff Transformations and the Pricing of European Interest-Rate Derivatives....Pages 69-93
Numerical Computation of Model Prices....Pages 95-110
Jump Specifications for Affine Term-Structure Models....Pages 111-123
Jump-Enhanced One-Factor Interest-Rate Models....Pages 125-143
Jump-Enhanced Two-Factor Interest-Rate Models....Pages 145-170
Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity....Pages 171-174
Conclusion....Pages 175-178
Back Matter....Pages 179-195
