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Pricing Interest-Rate Derivatives

Pricing Interest-Rate Derivatives PDF Author: Markus Bouziane
Publisher: Springer Science & Business Media
ISBN: 3540770666
Category : Business & Economics
Languages : en
Pages : 207

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Book Description
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.