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Mathematical utility theory : utility functions, models, and applications in the social sciences ; [international conference in Essen, Germany, in autumn 1997]

Herden, Gerhard (ed.); Knoche, Norbert (contributor); … - 1999

Persistent link: https://www.econbiz.de/10001354199

Economic foundations of symmetric programming

Paris, Quirino - 2011 - 1. publ.

Persistent link: https://www.econbiz.de/10008808801

Indifference pricing : theory and applications

Carmona, René (contributor) - 2009

Persistent link: https://www.econbiz.de/10003743756

Pricing of derivatives on mean-reverting assets

Lutz, Björn - 2010

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...