| 000 | 02603nam a22005295i 4500 | ||
|---|---|---|---|
| 001 | 978-3-642-02909-7 | ||
| 003 | DE-He213 | ||
| 005 | 20140220084524.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 100301s2010 gw | s |||| 0|eng d | ||
| 020 |
_a9783642029097 _9978-3-642-02909-7 |
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| 024 | 7 |
_a10.1007/978-3-642-02909-7 _2doi |
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| 050 | 4 | _aHG1-9999 | |
| 050 | 4 | _aHG4501-6051 | |
| 050 | 4 | _aHG1501-HG3550 | |
| 072 | 7 |
_aKFF _2bicssc |
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| 072 | 7 |
_aKFFK _2bicssc |
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| 072 | 7 |
_aBUS027000 _2bisacsh |
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| 072 | 7 |
_aBUS004000 _2bisacsh |
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| 082 | 0 | 4 |
_a657.8333 _223 |
| 082 | 0 | 4 |
_a658.152 _223 |
| 100 | 1 |
_aLutz, Björn. _eauthor. |
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| 245 | 1 | 0 |
_aPricing of Derivatives on Mean-Reverting Assets _h[electronic resource] / _cby Björn Lutz. |
| 264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2010. |
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| 300 | _bonline resource. | ||
| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 347 |
_atext file _bPDF _2rda |
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| 490 | 1 |
_aLecture Notes in Economics and Mathematical Systems, _x0075-8442 ; _v630 |
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| 505 | 0 | _aIntroduction -- Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level -- Deterministic Seasonality Effects -- Conclusion. | |
| 520 | _aThe 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. | ||
| 650 | 0 | _aEconomics. | |
| 650 | 0 | _aFinance. | |
| 650 | 0 | _aBanks and banking. | |
| 650 | 1 | 4 | _aEconomics/Management Science. |
| 650 | 2 | 4 | _aFinance /Banking. |
| 650 | 2 | 4 | _aFinancial Economics. |
| 650 | 2 | 4 | _aQuantitative Finance. |
| 710 | 2 | _aSpringerLink (Online service) | |
| 773 | 0 | _tSpringer eBooks | |
| 776 | 0 | 8 |
_iPrinted edition: _z9783642029080 |
| 830 | 0 |
_aLecture Notes in Economics and Mathematical Systems, _x0075-8442 ; _v630 |
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| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-02909-7 |
| 912 | _aZDB-2-SBE | ||
| 999 |
_c111450 _d111450 |
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