Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets
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Published By Springer Berlin Heidelberg

9783642029080, 9783642029097

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Deterministic Seasonality Effects

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_7 ◽

2009 ◽

pp. 115-126

Author(s):

Björn Lutz

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Stochastic Equilibrium Level of the Underlying Process

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_6 ◽

2009 ◽

pp. 101-114

Author(s):

Björn Lutz

Keyword(s):

Stochastic Equilibrium ◽

Underlying Process ◽

Equilibrium Level

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Stochastic Volatility Models

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_4 ◽

2009 ◽

pp. 55-79

Author(s):

Björn Lutz

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Mean Reversion in Commodity Prices

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_2 ◽

2009 ◽

pp. 9-16 ◽

Cited By ~ 1

Author(s):

Björn Lutz

Keyword(s):

Commodity Prices ◽

Mean Reversion

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Integration of Jump Components

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_5 ◽

2009 ◽

pp. 81-99

Author(s):

Björn Lutz

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Fundamentals of Derivative Pricing

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_3 ◽

2009 ◽

pp. 17-53

Author(s):

Björn Lutz

Keyword(s):

Derivative Pricing

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Conclusion

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_8 ◽

2009 ◽

pp. 127-131

Author(s):

Björn Lutz

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Introduction

Lecture Notes in Economics and Mathematical Systems - Pricing of Derivatives on Mean-Reverting Assets ◽

10.1007/978-3-642-02909-7_1 ◽

2009 ◽

pp. 1-7

Author(s):

Björn Lutz

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