Items related to Pricing of Derivatives on Mean-Reverting Assets: 630...
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
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.
"synopsis" may belong to another edition of this title.
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.
Search results for Pricing of Derivatives on Mean-Reverting Assets: 630...
Stock Image
Pricing of Derivatives on Mean-Reverting Assets (eng)
Print on DemandSeller: Brook Bookstore On Demand, Napoli, NA, Italy
Seller rating 5 out of 5 stars
Condition: new. Questo è un articolo print on demand. Seller Inventory # 26549a3c365846de8fa71b83a7d96383
Buy New
£ 40.46
£ 5.78 shipping
Ships from Italy to U.S.A.
Ships from Italy to U.S.A.
Quantity: Over 20 available
Seller Image
Pricing of Derivatives on Mean-Reverting Assets (Paperback or Softback)
Published by
Springer 10/6/2009, 2009
ISBN 10: 3642029086
ISBN 13: 9783642029080
New
Paperback or Softback
Seller: BargainBookStores, Grand Rapids, MI, U.S.A.
Seller rating 5 out of 5 stars
Paperback or Softback. Condition: New. Pricing of Derivatives on Mean-Reverting Assets. Book. Seller Inventory # BBS-9783642029080
Stock Image
Pricing of Derivatives on Mean-Reverting Assets (Lecture Notes in Economics and Mathematical Systems)
Seller: Chiron Media, Wallingford, United Kingdom
Seller rating 5 out of 5 stars
Paperback. Condition: New. Seller Inventory # 6666-IUK-9783642029080
Buy New
£ 47.47
£ 15.49 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 10 available
Stock Image
Pricing of Derivatives on Mean-Reverting Assets (Lecture Notes in Economics and Mathematical Systems, 630)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In English. Seller Inventory # ria9783642029080_new
Buy New
£ 54.35
£ 9.37 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: Over 20 available
Seller Image
Pricing of Derivatives on Mean-Reverting Assets
Published by
Berlin Springer Berlin Heidelberg Springer Okt 2009, 2009
ISBN 10: 3642029086
ISBN 13: 9783642029080
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 137 pp. Englisch. Seller Inventory # 9783642029080
Stock Image
Pricing of Derivatives on Mean-Reverting Assets
Seller: Books Puddle, Woodside, NY, U.S.A.
Seller rating 4 out of 5 stars
Condition: New. pp. 156. Seller Inventory # 261372235
Stock Image
Pricing of Derivatives on Mean-Reverting Assets
Print on DemandSeller: Majestic Books, Hounslow, United Kingdom
Seller rating 4 out of 5 stars
Condition: New. Print on Demand pp. 156 22 Illus. Seller Inventory # 6508436
Buy New
£ 70.33
£ 6.50 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 4 available
Seller Image
Pricing of Derivatives on Mean-Reverting Assets
Published by
Springer, Berlin, Springer, 2009
ISBN 10: 3642029086
ISBN 13: 9783642029080
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783642029080
Stock Image
Pricing of Derivatives on Mean-Reverting Assets
Print on DemandSeller: Biblios, Frankfurt am main, HESSE, Germany
Seller rating 4 out of 5 stars
Condition: New. PRINT ON DEMAND pp. 156. Seller Inventory # 181372225
Seller Image
Pricing of Derivatives on Mean-Reverting Assets
Published by
Springer Berlin Heidelberg, 2009
ISBN 10: 3642029086
ISBN 13: 9783642029080
New
Kartoniert / Broschiert
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Mean Reversion in Commodity Prices.- Fundamentals of Derivative Pricing.- Stochastic Volatility Models.- Integration of Jump Components.- Stochastic Equilibrium Level of the Underlying Process.- Deterministic Seasonality Effects.- Conclusion.The topi. Seller Inventory # 5043826
Buy New
£ 42.66
£ 41.63 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available