2009, ISBN: 3642029086

[EAN: 9783642029080], Neubuch, [PU: Berlin Springer Berlin Heidelberg Springer Okt 2009], ALGORITHMS, FOURIER INVERSION, INCOMPLETE MARKETS, MEAN-REVERSION, NUMERICAL INTEGRATION OF ODE S… Mehr…

[EAN: 9783642029080], Neubuch, [PU: Berlin Springer Berlin Heidelberg Springer Okt 2009], ALGORITHMS, FOURIER INVERSION, INCOMPLETE MARKETS, MEAN-REVERSION, NUMERICAL INTEGRATION OF ODE SYSTEMS, VOLATILITY, DERIVATIVE PRICING, QUANTITATIVE FINANCE, Besorgungstitel Neuware - Rare Book Procurement - 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. 137 pp. Englisch, Books<

2009, ISBN: 3642029086

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 as… Mehr…

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. Media Buch, 137 Seiten, Media > Books, Springer, 2009<

ISBN: 9783642029080

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 as… Mehr…

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., Springer<

2009, ISBN: 9783642029080

Springer, Taschenbuch, Auflage: 2010, 156 Seiten, Publiziert: 2009-10-06T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: black & white illustrations, 1.12 kg, Recht, Kategorien, Bücher, W… Mehr…

Springer, Taschenbuch, Auflage: 2010, 156 Seiten, Publiziert: 2009-10-06T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: black & white illustrations, 1.12 kg, Recht, Kategorien, Bücher, Wirtschaft, Business & Karriere, Finanzen, Börse & Geld, Mathematik, Naturwissenschaften & Technik, Taschenbücher, Fremdsprachige Bücher, Englische Bücher, Springer, 2009<