Markus Bouziane – Pricing Interest-Rate Derivatives
The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.
FROM THE REVIEWS:
“The book is based on author’s Ph.D. Thesis entitled ‘Pricing Interest – Rate Derivatives with Fourier Transform Techniques’. The main objective of this research work was to derive an efficient and accurate pricing tool for interest rate derivatives within a Fourier transform pricing approach, which is generally applicable to exponential-affine jump-diffusion models. … the book is very useful for the research workers also in field of the pricing interest rate derivatives. The book is concluded with an exhaustive bibliography on the topic.”
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