Pricing of derivatives on mean-reverting assets / Bjö̈rn Lutz.
| Author/creator | Lutz, Björn |
| Format | Book |
| Publication Info | Heidelberg ; New York : Springer-Verlag, ©2010. |
| Description | xviii, 137 pages : illustrations ; 24 cm. |
| Subjects |
| Series | Lecture notes in economics and mathematical systems, 0075-8442 ; 630 Lecture notes in economics and mathematical systems ; 630. ^A511947 |
| Abstract | 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 note | Includes bibliographical references (p. 133-137). |
| LCCN | 2009939466 |
| ISBN | 9783642029080 |
| ISBN | 3642029086 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Joyner | General Stacks | HG6024.A3 L88 2010 | ✔ Available | Place Hold |