| 000 -LEADER |
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| fixed length control field |
02363nam a22004695i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20140310152708.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2010 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783642029097 |
|
978-3-642-02909-7 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG1-9999 |
|
|---|
| Classification number |
HG4501-6051 |
|
|---|
| Classification number |
HG1501-HG3550 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
657.8333 |
| Edition number |
23 |
|
|---|
| Classification number |
658.152 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg, |
| -- |
2010. |
| 912 ## - |
|---|
| -- |
ZDB-2-SBE |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Lutz, Björn. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Pricing of Derivatives on Mean-Reverting Assets |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc |
by Björn Lutz. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Lecture Notes in Economics and Mathematical Systems, |
| International Standard Serial Number |
0075-8442 ; |
| Volume number/sequential designation |
630 |
| 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 |
Economics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Banks and banking. |
|
|---|
| Topical term or geographic name as entry element |
Economics/Management Science. |
|
|---|
| Topical term or geographic name as entry element |
Finance /Banking. |
|
|---|
| Topical term or geographic name as entry element |
Financial Economics. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642029080 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-02909-7 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
