Pricing of Derivatives 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-...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2010
|
| Edition: | 1st ed. 2010 |
| Series: | Lecture Notes in Economics and Mathematical Systems
630 |
| Subjects: | |
| Online Access: | BTU01 UBR01 UBY01 Volltext |
| 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 |
| Physical Description: | 1 Online-Ressource (XVIII, 137 p. 22 illus) |
| ISBN: | 9783642029097 |
| DOI: | 10.1007/978-3-642-02909-7 |
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| id | DE-604.BV046443628 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:44:45Z |
| institution | BVB |
| isbn | 9783642029097 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-031855639 |
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| owner_facet | DE-355 DE-BY-UBR DE-634 DE-706 |
| physical | 1 Online-Ressource (XVIII, 137 p. 22 illus) |
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| spelling | Lutz, Björn Verfasser aut Pricing of Derivatives on Mean-Reverting Assets by Björn Lutz 1st ed. 2010 Berlin, Heidelberg Springer Berlin Heidelberg 2010 1 Online-Ressource (XVIII, 137 p. 22 illus) txt rdacontent c rdamedia cr 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 Finance, general Macroeconomics/Monetary Economics//Financial Economics Applications of Mathematics Quantitative Finance Finance Macroeconomics Mathematics Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Warentermingeschäft (DE-588)4064603-8 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 Druck-Ausgabe 9783642029080 Erscheint auch als Druck-Ausgabe 9783642029103 https://doi.org/10.1007/978-3-642-02909-7 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Lutz, Björn Pricing of Derivatives on Mean-Reverting Assets Finance, general Macroeconomics/Monetary Economics//Financial Economics Applications of Mathematics Quantitative Finance Finance Macroeconomics Mathematics Derivat Wertpapier (DE-588)4381572-8 gnd Volatilität (DE-588)4268390-7 gnd Preisbildung (DE-588)4047103-2 gnd Stochastisches Modell (DE-588)4057633-4 gnd Warentermingeschäft (DE-588)4064603-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4268390-7 (DE-588)4047103-2 (DE-588)4057633-4 (DE-588)4064603-8 |
| title | Pricing of Derivatives on Mean-Reverting Assets |
| title_auth | Pricing of Derivatives on Mean-Reverting Assets |
| title_exact_search | Pricing of Derivatives on Mean-Reverting Assets |
| title_full | Pricing of Derivatives on Mean-Reverting Assets by Björn Lutz |
| title_fullStr | Pricing of Derivatives on Mean-Reverting Assets by Björn Lutz |
| title_full_unstemmed | Pricing of Derivatives on Mean-Reverting Assets by Björn Lutz |
| title_short | Pricing of Derivatives on Mean-Reverting Assets |
| title_sort | pricing of derivatives on mean reverting assets |
| topic | Finance, general Macroeconomics/Monetary Economics//Financial Economics Applications of Mathematics Quantitative Finance Finance Macroeconomics Mathematics Derivat Wertpapier (DE-588)4381572-8 gnd Volatilität (DE-588)4268390-7 gnd Preisbildung (DE-588)4047103-2 gnd Stochastisches Modell (DE-588)4057633-4 gnd Warentermingeschäft (DE-588)4064603-8 gnd |
| topic_facet | Finance, general Macroeconomics/Monetary Economics//Financial Economics Applications of Mathematics Quantitative Finance Finance Macroeconomics Mathematics Derivat Wertpapier Volatilität Preisbildung Stochastisches Modell Warentermingeschäft |
| url | https://doi.org/10.1007/978-3-642-02909-7 |
| work_keys_str_mv | AT lutzbjorn pricingofderivativesonmeanrevertingassets |