| 000 -LEADER |
|---|
| fixed length control field |
02097cam a2200301Ia 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20190515134303.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
100909s2010 gw a ob 000 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| Cancelled/invalid ISBN |
9783642029080 |
|
|---|
| Cancelled/invalid ISBN |
3642029086 |
| 041 ## - Language |
|---|
| Language code of text/sound track or separate title |
eng |
| 050 14 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG6024.A3 |
| Item number |
L88 2010eb |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.64570151 |
| Edition number |
22 |
| Item number |
L975 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Lutz, Bjorn. |
| 9 (RLIN) |
6480 |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Pricing of derivatives on mean-reverting assets / |
| Statement of responsibility, etc |
Bjorn Lutz. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Heidelberg : |
| Name of publisher, distributor, etc |
Springer, |
| Date of publication, distribution, etc |
2010. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xviii, 137 p. : |
| Other physical details |
ill. |
| 440 #0 - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| 9 (RLIN) |
6466 |
| Title |
Lecture notes in economics and mathematical systems ; |
| International Standard Serial Number |
00758442 |
| Volume number/sequential designation |
637. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references (p. 133-137) |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Introduction -- Mean reversion in commodity prices -- Fundamentals of derivative pricing -- Stochastic volatility models -- Integration of jump components -- Stochastic equilibrium level -- Deterministic seasonality effects -- Conclusion. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Derivative securities |
| General subdivision |
Prices |
| -- |
Mathematical models. |
| 9 (RLIN) |
6481 |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
SpringerLink |
| Record control number |
(OCoLC)43927870. |
|
|---|
| Title |
OhioLINK electronic book center (Online) |
| Record control number |
(OCoLC)180989150. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Print version: |
| Main entry heading |
Lutz, Bjorn. |
| Title |
Pricing of derivatives on mean-reverting assets. |
| Place, publisher, and date of publication |
Heidelberg ; New York : Springer-Verlag, c2010 |
| International Standard Book Number |
9783642029080 |
| Record control number |
(DLC) 2009939466 |
| -- |
(OCoLC)428029144. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://rave.ohiolink.edu/ebooks/ebc/9783642029097 |
| Public note |
Connect to resource |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
Book |
