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

Finanzmathematische Grundlagen -- Eigenschaften und Bewertung von Derivaten -- Der Einsatz von Derivaten -- Hedging mit Derivaten -- Derivate zur Optimierung der Performance -- Risikosteuerung -- Besondere Herausforderungen beim Derivateeinsatz -- Derivate als Informationsquelle.

There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...