FFT network for interest rate derivatives with Lévy processes

DOI10.1007/S13160-017-0259-7zbMath1386.91137OpenAlexW2734669469MaRDI QIDQ1684764

Mei Choi Chiu, Hoi Ying Wong, Zhuolu Xu

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0259-7

zbMATH Keywords

Lévy processesinterest rate derivativesFFT newwork

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

FFT-network for bivariate Lévy option pricing

Cites Work

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• An artificial boundary method for the Hull-White model of American interest rate derivatives
• Valuation of stock loans using exponential phase-type Lévy models
• Numerical solution of jump-diffusion LIBOR market models
• Term Structure Models Driven by General Levy Processes
• VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS
• The Term Structure of Simple Forward Rates with Jump Risk
• Pricing Interest-Rate-Derivative Securities

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