Introduction -- A General Multi-Factor Model and the Principles of Characteristic Functions -- Theoretical Prices of European Interest-Rate Derivatives -- Three Fourier Transform-Based Pricing Approaches -- Payoff Transformations and the Pricing of European Interest-Rate Derivatives -- Numerical Computation of Model Prices -- Jump Specifications for Affine Term-Strucutre Models -- Jump-Enhanced One-Factor Interest-Rate Models -- Jump-Enhanced Two-Factor Interest-Rate Models -- Non-Affine and Stochastic Jump Intensity Term-Structure -- Conclusion
Summary
"This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different interest-rate derivatives by using contour integration principles, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models."--Jacket
Bibliography
Includes bibliographical references (pages 187-193)
