Pricing interest-rate derivatives. A Fourier-transform based approach.

DOI10.1007/978-3-540-77066-4MaRDI QIDQ2473573zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fast Fourier transforminterest ratederivativesoptioninverse fast Fourier transformexponential-affine jump diffusion models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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• 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
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