FFT network for interest rate derivatives with Lévy processes

Keyphrases

• Interest Rate Derivatives 100%
• Lvy Processes 100%
• Transform Network 100%
• Fast Fourier Transform 100%
• Process Rate 33%
• Interest Rates 33%
• Japan 16%
• Copyright 16%
• Path Dependence 16%
• Stochastic Processes 16%
• Finance Research 16%
• Research Support 16%
• Brownian Motion 16%
• Efficient Computation 16%
• Accruals 16%
• Trinomial Tree 16%
• Trinomial 16%
• Target Redemption Notes 16%
• Characteristic Function 16%
• Interest Rate Targets 16%
• Solutions of Interest 16%
• Derivative Valuation 16%
• American Options 16%
• Term Structure of Interest Rates 16%
• Swaptions 16%
• Interest Rate Caps 16%
• Bermudan Swaptions 16%
• Numerical Comparison 16%
• Stochastic Modeling 16%

Economics, Econometrics and Finance

• Interest Rate Derivative 100%
• Finance 50%
• Levy Process 50%
• Yield Curve 50%
• Stochastic Modeling 50%

Engineering

• Fast Fourier Transform 100%
• Japan 16%
• Target Rate 16%
• Structure Term 16%
• Closed Form Solution 16%
• Characteristic Function 16%
• Dependent Variable 16%