Main description: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and...

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...

Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion