Pricing of Derivatives on Mean Reverting Assets

Author: Björn Lutz
Publisher: Springer Science & Business Media
ISBN: 9783642029097
Format: PDF, Kindle
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The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.

Pricing Metal Futures The Two Regime Pricing Model revisited

Author: Matthias Lassak
Publisher: Diplomica Verlag
ISBN: 3961465827
Format: PDF, Docs
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The Two-Regime-Pricing (TRP) model developed by Bühler, Korn and Schöbel (2004) is an important bridge between two strands of the literature of commodity futures pricing. It incorporates both the notion of a “convenience yield” and the idea of pricing based on the underlying spot price process. This work uses the TRP model and applies the findings to the pricing of industrial metal futures. In detail, the purpose of this study is to price a variety of futures contracts written on the traded industrial metals Aluminium, Aluminium Alloy, Copper, Lead, Nickel, Tin and Zinc using the TRP model and to analyze ist strengths and weaknesses in doing so. Given the spot price specification, a bootstrap maximum likelihood estimation is performed to determine the model parameters. Given the estimation results, the out-of-sample performance of the TRP model is compared to two benchmark models in the literature. In addition, the behavior of the theoretical futures prices is matched to metal futures properties observed in the market. By outlining the statistical challenges in estimation and forecasting in much detail, this work is valuable for researchers and academics in the field of derivatives pricing.

Pricing of Derivatives on Mean Reverting Assets

Author: Björn Lutz
Publisher: Springer
ISBN: 9783642029080
Format: PDF, ePub, Mobi
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The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.

Einfach intelligent produzieren

Author: Michael Braungart
Publisher:
ISBN: 9783833301834
Format: PDF, ePub, Mobi
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"Autos aus Autos? Schuhe als Düngemittel für unsere Balkonblumen? Zukünftig gibt es nur noch zwei Arten von Produkten: Verbrauchsgüter, die vollständig biologisch abgebaut werden können, und Gebrauchsgüter, die sich endlos recyclen lassen. Die Devise lautet: Nicht weniger müssen wir produzieren, sondern verschwenderisch und in technischen und biologischen Kreisläufen. Eine ökologisch-industrielle Revolution steht uns bevor, mit der Natur als Vorbild. Und was die beiden Fachleute in anschaulicher Weise darbieten, ist keineswegs nur graue Theorie, sondern das Ergebnis eigener praktischer Erfahrungen: Michael Braungart und William McDonough erproben seit Jahren mit Firmen wie Ford, Nike, Unilever und BP erfolgreich die Realisierbarkeit ihrer Ideen." -- Herausgeber.

Cancer New Insights for the Healthcare Professional 2011 Edition

Author:
Publisher: ScholarlyEditions
ISBN: 1464900027
Format: PDF, ePub, Docs
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Cancer: New Insights for the Healthcare Professional: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Cancer. The editors have built Cancer: New Insights for the Healthcare Professional: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Cancer in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Cancer: New Insights for the Healthcare Professional: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.