Pricing Interest-Rate Derivatives

A Fourier-Transform Based Approach

  • Markus Bouziane

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 607)

About this book


Fourier transform Fourier-based Pricing Methods Interest-Rate Derivatives Jump-Diffusions Option Pricing Random Jumps Short-Rate Models fast Fourier transform fast Fourier transform (FFT)

Authors and affiliations

  • Markus Bouziane
    • 1
  1. 1.Landesbank Baden-WürttembergStuttgartGermany

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2008
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-540-77065-7
  • Online ISBN 978-3-540-77066-4
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site