Pricing Interest-Rate Derivatives

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

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Avainsanat: BUSINESS & ECONOMICS / Management Science BUS042000