Pricing of Derivatives on Mean-Reverting Assets | EKB DL

Home BookPricing of Derivatives on Mean-Reverting Assets

Pricing of Derivatives on Mean-Reverting Assets

Pricing of Derivatives on Mean-Reverting Assets

Description

The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.

Keywords

Business & EconomicsFinanceEconomicsMacroeconomicsMathematicsMoney & Monetary PolicyAccounting

2009Book

Author(s)Björn Lutz

PublisherSpringer Berlin Heidelberg

ISBN9783642029080

LanguageEnglish

Similar Books

Derivative Securities and Difference Methods

Derivative Securities and Difference Methods

Financial Derivatives Modeling

Financial Derivatives Modeling

Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach

Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach

Change of Time Methods in Quantitative Finance

Change of Time Methods in Quantitative Finance

Risk-neutral Valuation Pricing and Hedging of Financial Derivatives

Risk-neutral Valuation Pricing and Hedging of Financial Derivatives

Mathematics of Financial Markets

Mathematics of Financial Markets

Quantitative Energy Finance Modeling, Pricing, and Hedging in Energy and Commodity Markets

Quantitative Energy Finance Modeling, Pricing, and Hedging in Energy and Commodity Markets

Pricing of Bond Options Unspanned Stochastic Volatility and Random Field Models

Pricing of Bond Options Unspanned Stochastic Volatility and Random Field Models

Malliavin Calculus for Lévy Processes with Applications to Finance

Malliavin Calculus for Lévy Processes with Applications to Finance

Fundamentals and Advanced Techniques in Derivatives Hedging

Fundamentals and Advanced Techniques in Derivatives Hedging