Isbn: 9783642029080 - pricing of derivatives on mean-reverting assets: 630 (lecture notes in economics and mathematical systems) (12 resultados)

Paperback or Softback. Condición: New. Pricing of Derivatives on Mean-Reverting Assets. Book.

Paperback. Condición: New.

Condición: New. In English.

Condición: New. pp. 156.

Taschenbuch. Condición: 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.…

Taschenbuch. Condición: Neu. Pricing of Derivatives on Mean-Reverting Assets | Björn Lutz | Taschenbuch | xviii | Englisch | 2009 | Springer | EAN 9783642029080 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.…

Condición: Sehr gut. Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher | Keine Beschreibung verfügbar.

Condición: new. Questo è un articolo print on demand.

Taschenbuch. Condición: 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. …

Condición: New. Print on Demand pp. 156 22 Illus.

Condición: New. PRINT ON DEMAND pp. 156.

Kartoniert / Broschiert. Condición: 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.…