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Pricing of Derivatives on Mean-Reverting Assets|Björn Lutz

Pricing of Derivatives on Mean-Reverting Assets

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Overview

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.

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Details

  • ISBN-13: 9783642029080
  • ISBN-10: 3642029086
  • Publisher: Springer
  • Publish Date: October 2009
  • Dimensions: 9.21 x 6.14 x 0.33 inches
  • Shipping Weight: 0.5 pounds
  • Page Count: 137

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