Pricing of Derivatives on Mean-Reverting Assets: 630 (Lecture Notes in Economics and Mathematical Systems, 630) - Softcover

Book 34 of 126: Lecture Notes in Economics and Mathematical Systems

Lutz, Björn

 
9783642029080: Pricing of Derivatives on Mean-Reverting Assets: 630 (Lecture Notes in Economics and Mathematical Systems, 630)
Softcover
ISBN 10: 3642029086 ISBN 13: 9783642029080
Publisher: Springer, 2009

Synopsis

The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.

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From the Back Cover

The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class of assets, convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic seasonality effects. Another focus is on numerical algorithms to calculate the Fourier integral as well as to integrate systems of ordinary differential equations.

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2009
Language
English
ISBN 10 
3642029086
ISBN 13 
9783642029080
Binding
Paperback
Number of pages
155

Other Popular Editions of the Same Title

9783642029103: Pricing of Derivatives on Mean-Reverting Assets

Featured Edition

ISBN 10:  3642029108 ISBN 13:  9783642029103
Publisher: Springer, 2009
Softcover