Pricing interest-rate derivatives. A Fourier-transform based approach.
From MaRDI portal
Publication:2473573
DOI10.1007/978-3-540-77066-4zbMATH Open1154.91001OpenAlexW2799488534MaRDI QIDQ2473573FDOQ2473573
Authors: Markus Bouziane 
Publication date: 28 February 2008
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-77066-4
Recommendations
fast Fourier transforminterest ratederivativesoptioninverse fast Fourier transformexponential-affine jump diffusion models
Cited In (11)
- Pricing the bank's triggered financial products based on Fourier transform method
- Fourier transform methods in finance.
- ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
- Applications of Fourier transform to smile modeling. Theory and implementation.
- A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
- Pitfalls of the Fourier transform method in affine models, and remedies
- FFT network for interest rate derivatives with Lévy processes
- Pricing of interest rate derivatives based on affine jump diffusion model
- Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives
- Title not available (Why is that?)
- Valuing early-exercise interest-rate options with multi-factor affine models
This page was built for publication: Pricing interest-rate derivatives. A Fourier-transform based approach.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2473573)
