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

Kaum eine Entwicklung hat in den letzten Jahrzehnten den Strukturwandel, die Konjunkturverläufe, das wirtschaftliche Wachstum und die weltwirtschaftliche Integration so beeinflußt, wie die massive Expansion der Informations- und Kommunikationstechnologien, d.h. der sogenannten Neuen Ökonomie....

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...