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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn - 2010
Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …
Persistent link: https://www.econbiz.de/10013522771
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Commodity Procurement with Operational and Financial Instruments
Arnold, Jan - 2010
The recent economic developments have strongly increased the interest in altering raw material prices and especially in the protection from volatile and increasing prices. Jan Arnold integrates financial and operational aspects into a holistic approach to commodity procurement. He shows how to...
Persistent link: https://www.econbiz.de/10013521344
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Statistik für Wirtschaftswissenschaftler : Eine realdatenbasierte Einführung mit SPSS
Eckstein, Peter P. - 2010 - 2., aktualisierte und erweiterte Auflage
Dieses fundierte Lehrbuch führt umfassend und praxisrelevant in die statistische Methodenlehre für wirtschaftswissenschaftliche Studiengänge ein. Verfahren der Deskriptiven Statistik, der Explorativen Datenanalyse, der Stochastik, der Induktiven Statistik sowie der Multivariaten Statistik...
Persistent link: https://www.econbiz.de/10013517155
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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …
Persistent link: https://www.econbiz.de/10013521005
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Die Zinsstrukturtheorie : Eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010
DIE METHODISCHE GRUNDLEGUNG -- AUSGANGSBASIS: DIE BESTEHENDE ZINSSTRUKTURKURVE -- DIE ÄLTEREN THEORIEN ZUR ZINSSTRUKTUR -- DIE GRUNDMODELLE DER ZINSSTRUKTUR -- DIE DETERMINISTISCHEN FAKTOREN ZUR ZINSSTRUKTUR -- DIE SUBSTITUTIVEN ARBITRAGEPROZESSE ZUR ZINSSTRUKTUR -- DIE STOCHASTISCHEN...
Persistent link: https://www.econbiz.de/10014425190
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Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling
Schöne, Max - 2015
Empirical Analysis of Statistical Commodity Price Properties -- Stochastic Volatility, Jump Diffusion, and Lévy … realistic stochastic volatility, jump diffusion, and Lévy processes are evaluated in the context of a stylised investment … and optimal investment rules. Contents Empirical Analysis of Statistical Commodity Price Properties Stochastic Volatility …
Persistent link: https://www.econbiz.de/10012819114
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Food Price Volatility and Its Implications for Food Security and Policy
Kalkuhl, Matthias (ed.); Braun, Joachim von (ed.);  … - 2016
price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility … dealing with extreme volatility. …
Persistent link: https://www.econbiz.de/10011685744
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Optimization Methods for Gas and Power Markets : Theory and Cases
Edoli, Enrico - 2016
This is a valuable, quantitative guide to the technicalities of optimization methodologies in gas and power markets, and will be of interest to practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling
Persistent link: https://www.econbiz.de/10012397554
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Management von Rohstoffrisiken : Strategien, Märkte und Produkte
Eller, Roland - 2010
Rohstoffmärkte im Überblick -- Rohstoffmärkte im Rahmen globaler Trends -- Rohstoffindizes -- Der europäische Energiemarkt -- Rohstoffe und wirtschaftliche Entwicklung -- Risiko- und Treasurymanagement von Rohstoffen -- Anforderungen an das Risikomanagement und Risikocontrolling -- Produkte...
Persistent link: https://www.econbiz.de/10014424892