Pricing of Derivatives on Mean-Reverting Assets

Björn Lutz ()
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Björn Lutz: Hauck & Aufhäuser Asset

in Lecture Notes in Economics and Mathematical Systems from Springer, currently edited by Gunter Fandel and Walter Trockel

Date: 2010
ISBN: 978-3-642-02909-7
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Chapters in this book:

Ch Chapter 1 Introduction

Björn Lutz

Ch Chapter 2 Mean Reversion in Commodity Prices

Björn Lutz

Ch Chapter 3 Fundamentals of Derivative Pricing

Björn Lutz

Ch Chapter 4 Stochastic Volatility Models

Björn Lutz

Ch Chapter 5 Integration of Jump Components

Björn Lutz

Ch Chapter 6 Stochastic Equilibrium Level of the Underlying Process

Björn Lutz

Ch Chapter 7 Deterministic Seasonality Effects

Björn Lutz

Ch Chapter 8 Conclusion

Björn Lutz

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DOI: 10.1007/978-3-642-02909-7

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