Markus Bouziane – Pricing Interest-Rate Derivatives

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Description

Within a Fourier-transform-based pricing technique that is generally applicable to exponential-affine jump-diffusion models, the author obtains an efficient and accurate pricing tool for interest-rate derivatives.

Review Based on the feedback:

“The book is based on the author’s Ph.D. thesis, “Pricing Interest-Rate Derivatives using Fourier Transform Techniques.” The primary goal of this study was to develop an efficient and reliable pricing tool for interest rate derivatives using a Fourier transform pricing technique that is generally applicable to exponential-affine jump-diffusion models. … The book is extremely valuable for researchers working in the topic of interest rate derivative pricing. The book concludes with a comprehensive bibliography on the subject.” (Parihar, C. L., Zentralblatt MATH, Vol. 1154, 2009)

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