Copied Pricing of Derivatives on Mean-Reverting Assets
Pricing of Derivatives on Mean-Reverting Assets
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.
Price Comparison
| Seller | Contact Seller | List Price | On Sale | Shipping | Best Promo | Final Price | Volume Discount | Financing | Availability | Seller's Page |
|---|---|---|---|---|---|---|---|---|---|---|
|
BEST PRICE 1 Product Purchase
|
|
$39.99 | $39.99 |
|
$36.00 | See Site | In stock | Visit Store |
Reviews
Questions & Answers
Dynamic Reconfiguration in Real-Time Systems
$109.99
Web Engineering
$109.99
Sensors
$169.00
Konsumgterverpackungen in der Kreislaufwirtschaft
$74.99
Restrictions of EU Competition Law in the Digital Age
$169.99
Handbuch Netzintegration Erneuerbarer Energien
$109.00
RNA Metabolism and Gene Expression in Archaea
$159.99
Public Relations and the Digital
$109.99
Die Vitamine
$44.99
Liver Immunology
$199.99
Postmodernism and the Social Sciences
$84.99
Communications and Networking in China
$39.99
Dependable Computing for Critical Applications 3
$39.99
CSR in Contemporary Poland
$84.99
Mastering Uncertainty in Mechanical Engineering
$59.99
Fuzzy-Bildverarbeitung
$49.99
Geologisches Krftespiel und Landformung
$59.99
Benchmarking informationssystemgesttzter Geschftsprozesse
$59.99
Elektrische Messtechnik
$44.99
Building Resilience for Flood Disaster in Malaka-Timor, Indonesia
$169.00
Gegenwelten
$39.99
Diagonalization in Formal Mathematics
$39.99
Land Commune And Peasant Community In Russia
$39.99
Direct Myocardial Revascularization: History, Methodology, Technology
$129.00
West European Communist Parties after the Revolutions of 1989
$109.99
Physik und Physikalisches Praktikum
$49.99
Papierprfung
$49.99
Untersttzung in der Nachbarschaft
$44.99
Prediction and Perception of Natural Hazards
$109.99
Ratemaking in International Air Transport
$54.99
Vom Kindergarten bis zur Hochschule
$49.99
Eduard von Keyserling und die Klassische Moderne
$54.99
Analysis and Algorithms for Service Parts Supply Chains
$54.99
Biogeodynamics of Pollutants in Soils and Sediments
$84.99
Lehrbuch der Algebra
$49.99
Das Farben-Helligkeits-Diagramm der Plejaden
$54.99
Systems Biology
$179.99
Petroleum Geoscience
$159.99
Proceedings of 3rd International Conference on Smart Computing and Cyber Security
$249.99
Stella Tells Her Story
$5.99
