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- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 630)
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Table of contents (8 chapters)
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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Management GmbH, Hauck & Aufhäuser Asset, München, Germany
Björn Lutz
Bibliographic Information
Book Title: Pricing of Derivatives on Mean-Reverting Assets
Authors: Björn Lutz
Series Title: Lecture Notes in Economics and Mathematical Systems
DOI: https://doi.org/10.1007/978-3-642-02909-7
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2010
Softcover ISBN: 978-3-642-02908-0Published: 06 October 2009
eBook ISBN: 978-3-642-02909-7Published: 19 September 2009
Series ISSN: 0075-8442
Series E-ISSN: 2196-9957
Edition Number: 1
Number of Pages: XVIII, 137
Number of Illustrations: 22 b/w illustrations
Topics: Finance, general, Macroeconomics/Monetary Economics//Financial Economics, Applications of Mathematics, Quantitative Finance