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Pricing Interest-Rate Derivatives
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Pricing Interest-Rate Derivatives

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.
Undertittel
A Fourier-Transform Based Approach
Opplag
2008 ed.
ISBN
9783540770657
Språk
Engelsk
Vekt
310 gram
Utgivelsesdato
21.2.2008
Antall sider
193