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

Buch 34 von 126: Lecture Notes in Economics and Mathematical Systems

Lutz, Björn

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

Inhaltsangabe

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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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.

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Verlag
Springer
Erscheinungsdatum
2009
Sprache
Englisch
ISBN 10 
3642029086
ISBN 13 
9783642029080
Einband
Taschenbuch
Anzahl der Seiten
156
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