pricing of derivatives on mean reverting assets 630 lecture notes in economics and mathematical systems

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Pricing Of Derivatives On Mean Reverting Assets

Author : Björn Lutz
ISBN : 3642029094
Genre : Business & Economics
File Size : 66. 4 MB
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The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.

Pricing Metal Futures The Two Regime Pricing Model Revisited

Author : Matthias Lassak
ISBN : 9783961465828
Genre : Business & Economics
File Size : 41. 20 MB
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The Two-Regime-Pricing (TRP) model developed by Bühler, Korn and Schöbel (2004) is an important bridge between two strands of the literature of commodity futures pricing. It incorporates both the notion of a “convenience yield” and the idea of pricing based on the underlying spot price process. This work uses the TRP model and applies the findings to the pricing of industrial metal futures. In detail, the purpose of this study is to price a variety of futures contracts written on the traded industrial metals Aluminium, Aluminium Alloy, Copper, Lead, Nickel, Tin and Zinc using the TRP model and to analyze ist strengths and weaknesses in doing so. Given the spot price specification, a bootstrap maximum likelihood estimation is performed to determine the model parameters. Given the estimation results, the out-of-sample performance of the TRP model is compared to two benchmark models in the literature. In addition, the behavior of the theoretical futures prices is matched to metal futures properties observed in the market. By outlining the statistical challenges in estimation and forecasting in much detail, this work is valuable for researchers and academics in the field of derivatives pricing.

Pricing Of Derivatives On Mean Reverting Assets

Author : Björn Lutz
ISBN : 3642029086
Genre : Business & Economics
File Size : 88. 5 MB
Format : PDF
Download : 303
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The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.

Cancer New Insights For The Healthcare Professional 2011 Edition

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ISBN : 9781464900020
Genre : Medical
File Size : 84. 55 MB
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Cancer: New Insights for the Healthcare Professional: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Cancer. The editors have built Cancer: New Insights for the Healthcare Professional: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Cancer in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Cancer: New Insights for the Healthcare Professional: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

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