TY  - BOOK
AU  - Lutz,Björn
ED  - SpringerLink (Online service)
TI  - Pricing of Derivatives on Mean-Reverting Assets
T2  - Lecture Notes in Economics and Mathematical Systems,
SN  - 9783642029097
AV  - HG1-9999 
U1  - 657.8333 23
PY  - 2010///
CY  - Berlin, Heidelberg
PB  - Springer Berlin Heidelberg
KW  - Economics
KW  - Finance
KW  - Banks and banking
KW  - Economics/Management Science
KW  - Finance /Banking
KW  - Financial Economics
KW  - Quantitative Finance
N1  - 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
N2  - 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
UR  - http://148.231.10.114:2048/login?url=http://link.springer.com/book/10.1007/978-3-642-02909-7
ER  -