02086nmm a2200349 u 4500001001200000003002700012005001700039007002400056008004100080020001800121100001700139245009300156250001700249260006300266300004400329505025200373653005100625653001200676653004200688653003400730653002400764653001900788653003200807653001600839041001900855989003600874490005600910028003000966856007200996082000801068520066001076EB000382659EBX0100000000000000023571100000000000000.0cr|||||||||||||||||||||130626 ||| eng a97836420290971 aLutz, Björn00aPricing of Derivatives on Mean-Reverting AssetshElektronische Ressourcecby Björn Lutz a1st ed. 2010 aBerlin, HeidelbergbSpringer Berlin Heidelbergc2010, 2010 aXVIII, 137 p. 22 illusbonline resource0 aMean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion aMathematics in Business, Economics and Finance aFinance aMacroeconomics and Monetary Economics aSocial sciences / Mathematics aFinancial Economics aMacroeconomics aApplications of Mathematics aMathematics07aeng2ISO 639-2 bSpringeraSpringer eBooks 2005-0 aLecture Notes in Economics and Mathematical Systems50a10.1007/978-3-642-02909-740uhttps://doi.org/10.1007/978-3-642-02909-7?nosfx=yxVerlag3Volltext0 a332 aThe 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