Pricing of derivates on mean-reverting assets:
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-...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Heidelberg u.a.
Springer
2010
|
| Schriftenreihe: | Lecture notes in economics and mathematical systems
630 |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Zusammenfassung: | 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. |
| Beschreibung: | XVIII, 137 S. graph. Darst. 235 mm x 155 mm |
| ISBN: | 9783642029080 |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV035659378 | ||
| 003 | DE-604 | ||
| 005 | 20091124 | ||
| 007 | t | ||
| 008 | 090803s2010 d||| |||| 00||| eng d | ||
| 015 | |a 09,N26,1006 |2 dnb | ||
| 016 | 7 | |a 994587899 |2 DE-101 | |
| 020 | |a 9783642029080 |c PB. : EUR 74.85 (freier Pr.), sfr 109.00 (freier Pr.) |9 978-3-642-02908-0 | ||
| 024 | 3 | |a 9783642029080 | |
| 028 | 5 | 2 | |a 12714612 |
| 035 | |a (OCoLC)428029144 | ||
| 035 | |a (DE-599)DNB994587899 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-945 |a DE-384 |a DE-83 | ||
| 050 | 0 | |a HG6024.A3 | |
| 082 | 0 | |a 332.64570151 | |
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 084 | |a SI 853 |0 (DE-625)143200: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Lutz, Björn |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Pricing of derivates on mean-reverting assets |c Björn Lutz |
| 264 | 1 | |a Heidelberg u.a. |b Springer |c 2010 | |
| 300 | |a XVIII, 137 S. |b graph. Darst. |c 235 mm x 155 mm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Lecture notes in economics and mathematical systems |v 630 | |
| 520 | 3 | |a 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. | |
| 650 | 7 | |a Finanzderivat |2 stw | |
| 650 | 7 | |a Mean Reversion |2 stw | |
| 650 | 7 | |a Optionspreistheorie |2 stw | |
| 650 | 7 | |a Rohstoff-Futures |2 stw | |
| 650 | 7 | |a Stochastischer Prozess |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Volatilität |2 stw | |
| 650 | 7 | |a Wertpapieranalyse |2 stw | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities |x Prices |x Mathematical models | |
| 650 | 0 | 7 | |a Warentermingeschäft |0 (DE-588)4064603-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastisches Modell |0 (DE-588)4057633-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preisbildung |0 (DE-588)4047103-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Warentermingeschäft |0 (DE-588)4064603-8 |D s |
| 689 | 0 | 1 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 0 | 2 | |a Preisbildung |0 (DE-588)4047103-2 |D s |
| 689 | 0 | 3 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 689 | 0 | 4 | |a Stochastisches Modell |0 (DE-588)4057633-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-3-642-02909-7 |
| 830 | 0 | |a Lecture notes in economics and mathematical systems |v 630 |w (DE-604)BV000000036 |9 630 | |
| 856 | 4 | 2 | |q text/html |u http://deposit.dnb.de/cgi-bin/dokserv?id=3316086&prov=M&dok_var=1&dok_ext=htm |3 Inhaltstext |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017713827&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-017713827 | |
Datensatz im Suchindex
| _version_ | 1805092732255862784 |
|---|---|
| adam_text |
CONTENTS LIST OF FIGURES XIII LIST OF TABLES XV LIST OF NOTATIONS AND
SYMBOLS XVII 1 INTRODUCTION 1 2 MEAN REVERSION IN COMMODITY PRICES 9 2.
1 SOURCES OF MEAN REVERSION 9 2.1.1 CONVENIENCE YIELDS 9 2.1.2
KALDOR-WORKING HYPOTHESIS H 2.1.3 TIME-VARYING RISK PREMIA 12 2.2
EMPIRICAL EVIDENCE OF MEAN REVERSION 13 2.3 MEAN REVERSION AND
VOLATILITY: THE SAMUELSON HYPOTHESIS 14 3 FUNDAMENTALS OF DERIVATIVE
PRICING 17 3.1 DERIVATIVE PRICING UNDER THE RISK-NEUTRAL MEASURE 17
3.1.1 INTRODUCTION 17 3.1.2 CHANGE OF MEASURE FOR DIFFUSION PROCESSES 19
3.1.3 CHANGE OF MEASURE FOR JUMP-DIFFUSION PROCESSES 22 3.1.4 CHANGE OF
MEASURE IF THE UNDERLYING IS NOT A TRADED ASSET 25 3.2 CHARACTERISTIC
FUNCTIONS 26 3.3 FUNDAMENTAL PARTIAL DIFFERENTIAL EQUATION 28 3.4
EUROPEAN STYLE DERIVATIVES 31 3.4.1 FORWARDS AND FUTURES 31 3.4.2
EUROPEAN OPTIONS 32 3.5 FAST FOURIER ALGORITHMS 37 3.5.1 FAST FOURIER
TRANSFORMATION 37 3.5.2 FRACTIONAL FAST FOURIER TRANSFORMATION 40 3.6
RECOVERING SINGLE OPTION PRICES WITH GAUSS-LAGUERRE QUADRATURE . 42 XI
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/994587899 DIGITALISIERT
DURCH XI CONTENTS 4 STOCHASTIC VOLATILITY MODELS 55 4. 1 SQUARE-ROOT
STOCHASTIC VOLATILITY 55 4.1.1 COMPARISON WITH THE TAHANI SQUARE-ROOT
MODEL 56 4.1.2 SOLUTION FOR THE CHARACTERISTIC FUNCTION 60 4.1.3
COMPARISON WITH THE MONTE-CARLO SOLUTION 64 4.2 ORNSTEIN-UHLENBECK
STOCHASTIC VOLATILITY 66 4.2.1 COMPARISON WITH THE TAHANI OU MODEL 67
4.2.2 SOLUTION FOR THE CHARACTERISTIC FUNCTION 67 4.2.3 COMPARISON WITH
THE MONTE-CARLO SOLUTION 71 5 INTEGRATION OF JUMP COMPONENTS 81 5.1
SIMULATION OF POISSON PROCESSES 82 5.2 LOGNORMAL JUMPS OF THE UNDERLYING
86 5.2.1 NON-MEAN-REVERTING ASSETS 86 5.2.2 MEAN-REVERTING ASSETS 87
5.2.3 COMPARISON WITH THE MONTE-CARLO SOLUTION 89 5.3 EXPONENTIALLY AND
F-DISTRIBUTED JUMPS IN THE VARIANCE PROCESS 90 5.3.1 EXPONENTIALLY
DISTRIBUTED JUMPS 90 5.3.2 T-DISTRIBUTED JUMPS 91 5.3.3 COMPARISON WITH
THE MONTE-CARLO SOLUTION 92 5.4 JUMPS IN BOTH THE UNDERLYING AND
VARIANCE PROCESS 93 5.4.1 INDEPENDENT JUMPS 93 5.4.2 CORRELATED JUMPS 95
6 STOCHASTIC EQUILIBRIUM LEVEL 101 6.1 CONSTANT VOLATILITY 101 6.1.1
MEAN-REVERTING EQUILIBRIUM LEVEL 101 6.1.2 BROWNIAN MOTION WITH DRIFT
103 6.2 INTEGRATION OF SQUARE-ROOT STOCHASTIC VOLATILITY 105 6.2.1
MEAN-REVERTING EQUILIBRIUM LEVEL 105 6.2.2 BROWNIAN MOTION WITH DRIFT
106 6. |
| any_adam_object | 1 |
| author | Lutz, Björn |
| author_facet | Lutz, Björn |
| author_role | aut |
| author_sort | Lutz, Björn |
| author_variant | b l bl |
| building | Verbundindex |
| bvnumber | BV035659378 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
| callnumber-search | HG6024.A3 |
| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 QK 660 SI 853 |
| ctrlnum | (OCoLC)428029144 (DE-599)DNB994587899 |
| dewey-full | 332.64570151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64570151 |
| dewey-search | 332.64570151 |
| dewey-sort | 3332.64570151 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 cb4500</leader><controlfield tag="001">BV035659378</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20091124</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">090803s2010 d||| |||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">09,N26,1006</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">994587899</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783642029080</subfield><subfield code="c">PB. : EUR 74.85 (freier Pr.), sfr 109.00 (freier Pr.)</subfield><subfield code="9">978-3-642-02908-0</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9783642029080</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">12714612</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)428029144</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB994587899</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-945</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-83</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.A3</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64570151</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SI 853</subfield><subfield code="0">(DE-625)143200:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Lutz, Björn</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Pricing of derivates on mean-reverting assets</subfield><subfield code="c">Björn Lutz</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Heidelberg u.a.</subfield><subfield code="b">Springer</subfield><subfield code="c">2010</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVIII, 137 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">235 mm x 155 mm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Lecture notes in economics and mathematical systems</subfield><subfield code="v">630</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Finanzderivat</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Mean Reversion</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Rohstoff-Futures</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastischer Prozess</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Theorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Volatilität</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Wertpapieranalyse</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield><subfield code="x">Prices</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Warentermingeschäft</subfield><subfield code="0">(DE-588)4064603-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastisches Modell</subfield><subfield code="0">(DE-588)4057633-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Preisbildung</subfield><subfield code="0">(DE-588)4047103-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Warentermingeschäft</subfield><subfield code="0">(DE-588)4064603-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Preisbildung</subfield><subfield code="0">(DE-588)4047103-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">Stochastisches Modell</subfield><subfield code="0">(DE-588)4057633-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-3-642-02909-7</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Lecture notes in economics and mathematical systems</subfield><subfield code="v">630</subfield><subfield code="w">(DE-604)BV000000036</subfield><subfield code="9">630</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="q">text/html</subfield><subfield code="u">http://deposit.dnb.de/cgi-bin/dokserv?id=3316086&prov=M&dok_var=1&dok_ext=htm</subfield><subfield code="3">Inhaltstext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017713827&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017713827</subfield></datafield></record></collection> |
| id | DE-604.BV035659378 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T10:16:17Z |
| institution | BVB |
| isbn | 9783642029080 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017713827 |
| oclc_num | 428029144 |
| open_access_boolean | |
| owner | DE-945 DE-384 DE-83 |
| owner_facet | DE-945 DE-384 DE-83 |
| physical | XVIII, 137 S. graph. Darst. 235 mm x 155 mm |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in economics and mathematical systems |
| series2 | Lecture notes in economics and mathematical systems |
| spelling | Lutz, Björn Verfasser aut Pricing of derivates on mean-reverting assets Björn Lutz Heidelberg u.a. Springer 2010 XVIII, 137 S. graph. Darst. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 630 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. Finanzderivat stw Mean Reversion stw Optionspreistheorie stw Rohstoff-Futures stw Stochastischer Prozess stw Theorie stw Volatilität stw Wertpapieranalyse stw Mathematisches Modell Derivative securities Prices Mathematical models Warentermingeschäft (DE-588)4064603-8 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Warentermingeschäft (DE-588)4064603-8 s Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s Volatilität (DE-588)4268390-7 s Stochastisches Modell (DE-588)4057633-4 s DE-604 Erscheint auch als Online-Ausgabe 978-3-642-02909-7 Lecture notes in economics and mathematical systems 630 (DE-604)BV000000036 630 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3316086&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017713827&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lutz, Björn Pricing of derivates on mean-reverting assets Lecture notes in economics and mathematical systems Finanzderivat stw Mean Reversion stw Optionspreistheorie stw Rohstoff-Futures stw Stochastischer Prozess stw Theorie stw Volatilität stw Wertpapieranalyse stw Mathematisches Modell Derivative securities Prices Mathematical models Warentermingeschäft (DE-588)4064603-8 gnd Stochastisches Modell (DE-588)4057633-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4064603-8 (DE-588)4057633-4 (DE-588)4381572-8 (DE-588)4047103-2 (DE-588)4268390-7 |
| title | Pricing of derivates on mean-reverting assets |
| title_auth | Pricing of derivates on mean-reverting assets |
| title_exact_search | Pricing of derivates on mean-reverting assets |
| title_full | Pricing of derivates on mean-reverting assets Björn Lutz |
| title_fullStr | Pricing of derivates on mean-reverting assets Björn Lutz |
| title_full_unstemmed | Pricing of derivates on mean-reverting assets Björn Lutz |
| title_short | Pricing of derivates on mean-reverting assets |
| title_sort | pricing of derivates on mean reverting assets |
| topic | Finanzderivat stw Mean Reversion stw Optionspreistheorie stw Rohstoff-Futures stw Stochastischer Prozess stw Theorie stw Volatilität stw Wertpapieranalyse stw Mathematisches Modell Derivative securities Prices Mathematical models Warentermingeschäft (DE-588)4064603-8 gnd Stochastisches Modell (DE-588)4057633-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Finanzderivat Mean Reversion Optionspreistheorie Rohstoff-Futures Stochastischer Prozess Theorie Volatilität Wertpapieranalyse Mathematisches Modell Derivative securities Prices Mathematical models Warentermingeschäft Stochastisches Modell Derivat Wertpapier Preisbildung |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3316086&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017713827&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT lutzbjorn pricingofderivatesonmeanrevertingassets |