Björn Lutz

Pricing of Derivatives on Mean-Reverting Assets (eBook, PDF)

• Format: PDF

Produktdetails

• Verlag: Springer Berlin
• Erscheinungstermin: 19. September 2009
• Englisch
• ISBN-13: 9783642029097
• Artikelnr.: 37370994

Inhaltsangabe

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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.