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Lutz, Björn

Pricing of Derivatives on Mean-Reverting Assets

Lutz, Björn - Pricing of Derivatives on Mean-Reverting Assets, ebook

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ISBN: 9783642029097
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Table of contents

1. Introduction
Björn Lutz

2. Mean Reversion in Commodity Prices
Björn Lutz

3. Fundamentals of Derivative Pricing
Björn Lutz

4. Stochastic Volatility Models
Björn Lutz

5. Integration of Jump Components
Björn Lutz

6. Stochastic Equilibrium Level of the Underlying Process
Björn Lutz

7. Deterministic Seasonality Effects
Björn Lutz

8. Conclusion
Björn Lutz

Keywords: Economics/Management Science, Finance /Banking, Financial Economics, Quantitative Finance

Author(s)
Publisher
Springer
Publication year
2010
Language
en
Edition
1
Series
Lecture Notes in Economics and Mathematical Systems
Category
Economy
Format
Ebook
eISBN (PDF)
9783642029097

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