Limit search to available items
Record 20 of 25
Previous Record Next Record
Book Cover
E-book
Author Lutz, Björn.

Title Pricing of derivatives on mean-reverting assets / Bjö̈rn Lutz
Published Heidelberg ; New York : Springer, ©2010

Copies

Description 1 online resource (xviii, 137 pages) : illustrations
Series Lecture notes in economics and mathematical systems, 0075-8442 ; 630
Lecture notes in economics and mathematical systems ; 630.
Contents Introduction -- Mean reversion in commodity prices -- Fundamentals of derivative pricing -- Stochastic volatility models -- Integration of jump components -- Stochastic equilibrium level -- Deterministic seasonality effects -- Conclusion
Summary 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
Bibliography Includes bibliographical references (pages 133-137)
Notes Print version record
In Springer eBooks
Subject Derivative securities -- Prices -- Mathematical models
Business -- Management.
Derivative securities -- Prices -- Mathematical models.
Affaires.
Science économique.
Economie de l'entreprise.
Derivative securities -- Prices -- Mathematical models
Form Electronic book
ISBN 9783642029097
3642029094