Holdings: Pricing interest-rate derivatives

Pricing interest-rate derivatives: a Fourier-transform based approach

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Bibliographic Details
Main Author:	Bouziane, Markus (Author)
Format:	Thesis Electronic eBook
Language:	English
Published:	Berlin [u.a.] Springer 2008
Series:	Lecture notes in economics and mathematical systems 607
Subjects:	Zins Derivat > Wertpapier Preisbildung Fourier-Transformation Hochschulschrift
Online Access:	BTU01 FAN01 FHI01 FHM01 FHR01 FKE01 FNU01 HWR01 UBG01 UBR01 UBT01 UBY01 UPA01 Volltext Inhaltsverzeichnis
Physical Description:	1 Online-Ressource (XXII, 193 S.) graph. Darst.
ISBN:	9783540770664
DOI:	10.1007/978-3-540-77066-4

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adam_text	CONTENTS LIST OF ABBREVIATIONS AND SYMBOLS XV LIST OF TABLES XIX LIST OF FIGURES XXI 1 INTRODUCTION 1 1.1 MOTIVATION AND OBJECTIVES 1 1.2 STRUCTURE OF THE THESIS 4 2 A GENERAL MULTI-FACTOR MODEL OF THE TERM STRUCTURE OF INTEREST RATES AND THE PRINCIPLES OF CHARACTERISTIC FUNCTIONS 7 2.1 AN EXTENDED JUMP-DIFFUSION TERM-STRUCTURE MODEL 7 2.2 TECHNICAL PRELIMINARIES 11 2.3 THE RISK-NEUTRAL PRICING APPROACH 13 2.3.1 ARBITRAGE AND THE EQUIVALENT MARTINGALE MEASURE 15 2.3.2 DERIVATION OF THE RISK-NEUTRAL COEFFICIENTS 16 2.4 THE CHARACTERISTIC FUNCTION 21 3 THEORETICAL PRICES OF EUROPEAN INTEREST-RATE DERIVATIVES .. 31 3.1 OVERVIEW 31 3.2 DERIVATIVES WITH UNCONDITIONAL PAYOFF FUNCTIONS 32 3.3 DERIVATIVES WITH CONDITIONAL PAYOFF FUNCTIONS 38 GESCANNT DURCH BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/986278432 DIGITALISIERT DURCH * * * REFERENCES 187 CONTENTS XIII 8.2.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 126 8.2.2 NUMERICAL RESULTS 128 8.3 THE SQUARE-ROOT MODEL 136 8.3.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 136 8.3.2 NUMERICAL RESULTS 138 9 JUMP-ENHANCED TWO-FACTOR INTEREST-RATE MODELS 145 9.1 OVERVIEW 145 9.2 THE ADDITIVE OU-SR MODEL 146 9.2.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 146 9.2.2 NUMERICAL RESULTS 148 9.3 THE FONG-VASICEK MODEL 159 9.3.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 159 9.3.2 NUMERICAL RESULTS 163 10 NON-AFFINE TERM-STRUCTURE MODELS AND SHORT-RATE MODELS WITH STOCHASTIC JUMP INTENSITY 171 10.1 OVERVIEW 171 10.2 QUADRATIC GAUSSIAN MODELS 171 10.3 STOCHASTIC JUMP INTENSITY 174 11 CONCLUSION 175 A DERIVATION OF THE COMPLEX-VALUED COEFFICIENTS FOR THE CHARACTERISTIC FUNCTION IN THE SQUARE-ROOT MODEL 179 B DERIVATION OF THE COMPLEX-VALUED COEFFICIENTS FOR THE CHARACTERISTIC FUNCTION IN THE FONG-VASICEK MODEL 183
adam_txt	CONTENTS LIST OF ABBREVIATIONS AND SYMBOLS XV LIST OF TABLES XIX LIST OF FIGURES XXI 1 INTRODUCTION 1 1.1 MOTIVATION AND OBJECTIVES 1 1.2 STRUCTURE OF THE THESIS 4 2 A GENERAL MULTI-FACTOR MODEL OF THE TERM STRUCTURE OF INTEREST RATES AND THE PRINCIPLES OF CHARACTERISTIC FUNCTIONS 7 2.1 AN EXTENDED JUMP-DIFFUSION TERM-STRUCTURE MODEL 7 2.2 TECHNICAL PRELIMINARIES 11 2.3 THE RISK-NEUTRAL PRICING APPROACH 13 2.3.1 ARBITRAGE AND THE EQUIVALENT MARTINGALE MEASURE 15 2.3.2 DERIVATION OF THE RISK-NEUTRAL COEFFICIENTS 16 2.4 THE CHARACTERISTIC FUNCTION 21 3 THEORETICAL PRICES OF EUROPEAN INTEREST-RATE DERIVATIVES . 31 3.1 OVERVIEW 31 3.2 DERIVATIVES WITH UNCONDITIONAL PAYOFF FUNCTIONS 32 3.3 DERIVATIVES WITH CONDITIONAL PAYOFF FUNCTIONS 38 GESCANNT DURCH BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/986278432 DIGITALISIERT DURCH * * * REFERENCES 187 CONTENTS XIII 8.2.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 126 8.2.2 NUMERICAL RESULTS 128 8.3 THE SQUARE-ROOT MODEL 136 8.3.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 136 8.3.2 NUMERICAL RESULTS 138 9 JUMP-ENHANCED TWO-FACTOR INTEREST-RATE MODELS 145 9.1 OVERVIEW 145 9.2 THE ADDITIVE OU-SR MODEL 146 9.2.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 146 9.2.2 NUMERICAL RESULTS 148 9.3 THE FONG-VASICEK MODEL 159 9.3.1 DERIVATION OF THE CHARACTERISTIC FUNCTION 159 9.3.2 NUMERICAL RESULTS 163 10 NON-AFFINE TERM-STRUCTURE MODELS AND SHORT-RATE MODELS WITH STOCHASTIC JUMP INTENSITY 171 10.1 OVERVIEW 171 10.2 QUADRATIC GAUSSIAN MODELS 171 10.3 STOCHASTIC JUMP INTENSITY 174 11 CONCLUSION 175 A DERIVATION OF THE COMPLEX-VALUED COEFFICIENTS FOR THE CHARACTERISTIC FUNCTION IN THE SQUARE-ROOT MODEL 179 B DERIVATION OF THE COMPLEX-VALUED COEFFICIENTS FOR THE CHARACTERISTIC FUNCTION IN THE FONG-VASICEK MODEL 183
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psigel	ZDB-2-SBE ebook
publishDate	2008
publishDateSearch	2008
publishDateSort	2008
publisher	Springer
record_format	marc
series	Lecture notes in economics and mathematical systems
series2	Lecture notes in economics and mathematical systems
spelling	Bouziane, Markus Verfasser aut Pricing interest-rate derivatives a Fourier-transform based approach Markus Bouziane Pricing interest rate derivatives with fourier transform techniques Berlin [u.a.] Springer 2008 1 Online-Ressource (XXII, 193 S.) graph. Darst. txt rdacontent c rdamedia cr rdacarrier Lecture notes in economics and mathematical systems 607 Zugl.: Tübingen, Univ., Diss., 2007 u.d.T.: Bouziane, Markus: Pricing interest rate derivatives with fourier transform techniques Zins (DE-588)4067845-3 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Fourier-Transformation (DE-588)4018014-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zins (DE-588)4067845-3 s Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s Fourier-Transformation (DE-588)4018014-1 s DE-604 Erscheint auch als Druck-Ausgabe, Paperback 3-540-77065-8 Erscheint auch als Druck-Ausgabe, Paperback 978-3-540-77065-7 Lecture notes in economics and mathematical systems 607 (DE-604)BV036652996 607 https://doi.org/10.1007/978-3-540-77066-4 Verlag URL des Erstveröffentlichers# Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016546234&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Bouziane, Markus Pricing interest-rate derivatives a Fourier-transform based approach Lecture notes in economics and mathematical systems Zins (DE-588)4067845-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Fourier-Transformation (DE-588)4018014-1 gnd
subject_GND	(DE-588)4067845-3 (DE-588)4381572-8 (DE-588)4047103-2 (DE-588)4018014-1 (DE-588)4113937-9
title	Pricing interest-rate derivatives a Fourier-transform based approach
title_alt	Pricing interest rate derivatives with fourier transform techniques
title_auth	Pricing interest-rate derivatives a Fourier-transform based approach
title_exact_search	Pricing interest-rate derivatives a Fourier-transform based approach
title_exact_search_txtP	Pricing interest-rate derivatives a Fourier-transform based approach
title_full	Pricing interest-rate derivatives a Fourier-transform based approach Markus Bouziane
title_fullStr	Pricing interest-rate derivatives a Fourier-transform based approach Markus Bouziane
title_full_unstemmed	Pricing interest-rate derivatives a Fourier-transform based approach Markus Bouziane
title_short	Pricing interest-rate derivatives
title_sort	pricing interest rate derivatives a fourier transform based approach
title_sub	a Fourier-transform based approach
topic	Zins (DE-588)4067845-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Fourier-Transformation (DE-588)4018014-1 gnd
topic_facet	Zins Derivat Wertpapier Preisbildung Fourier-Transformation Hochschulschrift
url	https://doi.org/10.1007/978-3-540-77066-4 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016546234&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV036652996
work_keys_str_mv	AT bouzianemarkus pricinginterestratederivativesafouriertransformbasedapproach AT bouzianemarkus pricinginterestratederivativeswithfouriertransformtechniques

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