Pricing interest-rate derivatives : a Fourier-transform based approach
著者
書誌事項
Pricing interest-rate derivatives : a Fourier-transform based approach
（Lecture notes in economics and mathematical systems, 607）
Springer, c2008
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注記
Includes bibliographical references (p. [187]-193)
内容説明・目次
内容説明
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.
目次
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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