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

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Bouziane, Markus (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008.
Edición:1st ed. 2008.
Colección:Lecture Notes in Economics and Mathematical Systems, 607
Temas:
Finance.
Functional analysis.
Social sciences > Mathematics.
Macroeconomics.
Financial Economics.
Functional Analysis.
Mathematics in Business, Economics and Finance.
Macroeconomics and Monetary Economics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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