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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...
Persistent link: https://www.econbiz.de/10003846466
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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 of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion
Persistent link: https://www.econbiz.de/10013522771
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Partial differential equations in economics and finance
Basov, Suran - 2007
Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …
Persistent link: https://www.econbiz.de/10003429606
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Production, interest, and saving in deterministic economies with additive endowments
Karatzas, Ioannis; Shubik, M.; Sudderth, William D. - In: Economic theory : official journal of the Society for … 29 (2006) 3, pp. 525-548
Persistent link: https://www.econbiz.de/10003382891
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An introduction to efficiency and productivity analysis
Coelli, Tim; Prasada Rao, D. S.; O'Donnell, Christopher John - 2005 - Second edition
Persistent link: https://www.econbiz.de/10002731255
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An Introduction to Efficiency and Productivity Analysis
Coelli, Tim; Prasada Rao, D. S.; O'Donnell, Christopher J. - 2005 - Second Edition
Softcover version of the second edition Hardcover.Incorporates a new author, Dr. Chris O'Donnell, who brings considerable expertise to the project in the area of performance measurement. Numerous topics are being added and more applications using real data, as well as exercises at the end of the...
Persistent link: https://www.econbiz.de/10013520409
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Effizienzanalyse von Dienstleistungsproduktionen : Eine Data Envelopment Analysis unter Berücksichtigung stochastischer externer Faktoren
Schlindwein, Regina - 2016
Ausgewählte DEA-Modelle: CCR-Modell und BCC-Modell -- Stochastische Effizienzkonzepte -- Entwicklung einer stochastischen Dienstleistungsaktivität -- DEA-Technologiemengen für stochastische Produktionen -- Chance-Constrained Technologiemenge.
Persistent link: https://www.econbiz.de/10013533862
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Effizienzanalyse von Dienstleistungsproduktionen : eine Data Envelopment Analysis unter Berücksichtigung stochastischer externer Faktoren
Schlindwein, Regina - 2016 - 1. Auflage 2016
Persistent link: https://www.econbiz.de/10011491455
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Stochastische Interaktion von Präferenzen und aggregierte Nachfrage
Schimmelpfennig, Jörg - 1986
Persistent link: https://www.econbiz.de/10009701303