Bouziane, Markus
Pricing Interest-Rate Derivatives
Table of contents
1. Introduction
2. A General Multi-Factor Model of the Term Structure of Interest Rates and the Principles of Characteristic Functions
3. Theoretical Prices of European Interest-Rate Derivatives
4. Three Fourier Transform-Based Pricing Approaches
5. Payoff Transformations and the Pricing of European Interest-Rate Derivatives
6. Numerical Computation of Model Prices
7. Jump Specifications for Affine Term-Structure Models
8. Jump-Enhanced One-Factor Interest-Rate Models
9. Jump-Enhanced Two-Factor Interest-Rate Models
10. Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity
11. Conclusion
DRM-restrictions
Printing: not available
Clipboard copying: not available
Keywords: BUSINESS & ECONOMICS / Management Science BUS042000
- Author(s)
- Bouziane, Markus
- Publisher
- Springer
- Publication year
- 2008
- Language
- en
- Edition
- 1
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9783540770664
