Pricing Interest-Rate Derivatives- A Fourier-Transform Based Approach [Springer 2008]

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1、LectureNotesinEconomicsandMathematicalSystems607FoundingEditors:M.BeckmannH.P.KünziManagingEditors:Prof.Dr.G.FandelFachbereichWirtschaftswissenschaftenFernuniversitätHagenFeithstr.140/AVZII,58084Hagen,GermanyProf.Dr.W.TrockelInstitutfürMathematischeWirtschaftsforschung(IM

2、W)UniversitätBielefeldUniversitätsstr.25,33615Bielefeld,GermanyEditorialBoard:A.Basile,A.Drexl,H.Dawid,K.Inderfurth,W.KürstenMarkusBouzianePricingInterest-RateDerivativesAFourier-TransformBasedApproach123Dr.MarkusBouzianeLandesbankBaden-WürttembergAmHauptbahnhof270173Stut

3、tgartGermanymarkus.bouziane@lbbw.deISBN978-3-540-77065-7e-ISBN978-3-540-77066-4DOI10.1007/978-3-540-77066-4LectureNotesinEconomicsandMathematicalSystemsISSN0075-8442LibraryofCongressControlNumber:2008920679©2008Springer-VerlagBerlinHeidelbergThisworkissubjecttocopyright.A

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7、r.comToSabineForewordInahypotheticalconversationbetweenatraderininterest-ratederivativesandaquantitativeanalyst,BrigoandMercurio(2001)letthetraderanswerabouttheprosandconsofshortratemodels:”...weshouldbecarefulinthinkingmarketmodelsarethefinalandcompletesolutiontoallproble

8、msininterestratemodels...andwhoknows,maybeshortratemodelswillcomebackoneday...”Inhisdissertation