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Pricing Interest-Rate Derivatives

Pricing Interest-Rate Derivatives

Markus Bouziane

Format: Print Book

ISBN: 9783540770657

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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.

Publication Year: 2008
Imprint: Springer Berlin Heidelberg
Format: P
Weight (Gram): 700





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