(Read free) Pricing of Derivatives on Mean-Reverting Assets: 630 (Lecture Notes in Economics and Mathematical Systems)






 | #3237874 in eBooks |  2009-09-19 |  2009-09-19 | File Name: B008BA5YNY


||0 of 0 people found the following review helpful.| So very helpful!|By DSGE|This might be the only review ever written for a very particular topic, but I must express my gratitude to the author for helping an (advanced) student understand these topics and giving me answers or more complete derivations on particular questions I could find absolutely nowhere else. Thanks for writing it!|From the Back Cover||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-reversio

The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.


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