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- 2009939466 abstract "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.".
- 2009939466 contributor B11733212.
- 2009939466 created "c2010.".
- 2009939466 date "2009".
- 2009939466 date "c2010.".
- 2009939466 dateCopyrighted "c2010.".
- 2009939466 description "Includes bibliographical references (p. 133-137).".
- 2009939466 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. 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.".
- 2009939466 extent "xviii, 137 p. :".
- 2009939466 identifier "3642029086 (pbk.)".
- 2009939466 identifier "9783642029080 (pbk.)".
- 2009939466 identifier 2009939466-d.html.
- 2009939466 identifier 2009939466-t.html.
- 2009939466 isPartOf "Lecture notes in economics and mathematical systems ; 630.".
- 2009939466 isPartOf "Lecture notes in economics and mathematical systems, 0075-8442 ; 630".
- 2009939466 issued "2009".
- 2009939466 issued "c2010.".
- 2009939466 language "eng".
- 2009939466 publisher "Heidelberg ; New York : Springer-Verlag,".
- 2009939466 subject "Derivative securities Prices Mathematical models.".
- 2009939466 subject "HG6024.A3 L88 2010".
- 2009939466 title "Pricing of derivatives on mean-reverting assets / Bjö̈rn Lutz.".
- 2009939466 type "text".