Pricing of Derivatives on Mean-Reverting Assets [recurso electrónico] / by Björn Lutz.
Tipo de material: TextoSeries Lecture Notes in Economics and Mathematical Systems ; 630Editor: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010Descripción: online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783642029097Tema(s): Economics | Finance | Banks and banking | Economics/Management Science | Finance /Banking | Financial Economics | Quantitative FinanceFormatos físicos adicionales: Printed edition:: Sin títuloClasificación CDD: 657.8333 | 658.152 Clasificación LoC:HG1-9999HG4501-6051HG1501-HG3550Recursos en línea: Libro electrónicoTipo de ítem | Biblioteca actual | Colección | Signatura | Copia número | Estado | Fecha de vencimiento | Código de barras |
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Libro Electrónico | Biblioteca Electrónica | Colección de Libros Electrónicos | HG1 -9999 (Browse shelf(Abre debajo)) | 1 | No para préstamo | 373485-2001 |
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HG1 -9999 Investment Banking | HG1 -9999 Applications of Fourier Transform to Smile Modeling | HG1 -9999 The Industrial Organization of Banking | HG1 -9999 Pricing of Derivatives on Mean-Reverting Assets | HG1 -9999 Theory of Zipf's Law and Beyond | HG1 -9999 The Science and Practice of Monetary Policy Today | HG1 -9999 Current Challenges for Corporate Finance |
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 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.
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