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Pricing of derivatives on mean-reverting assets
Lutz, Björn - 2010
the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …
Persistent link: https://www.econbiz.de/10003846466
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Zeitstetige Modellierung von Preisprozessen auf Finanzmärkten : zur Interpretation und Notwendigkeit der Usual Conditions
Klößner, Stefan - 2005 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002749826
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Ausfallbasiertes Hedging von Finanzderivaten
Schulmerich, Marco - 2002 - 1. Aufl
Persistent link: https://www.econbiz.de/10001658270
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Capacity reservation for capital-intensive technologies : an options approach
Spinler, Stefan - 2003
Persistent link: https://www.econbiz.de/10001719009
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Essays in financial risk management and derivative pricing
Herbener, Michael - 2016
Persistent link: https://www.econbiz.de/10012309291
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Handelbarkeit von Risiken : Erfolgsfaktoren von Verbriefungen und derivativen Finanzinstrumenten
Dresig, Tilo - 2000
Persistent link: https://www.econbiz.de/10001460213
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Stochastic implied volatility : a factor-based model
Hafner, Reinhold - 2004
the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of … risk, and volatility trading …This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows …
Persistent link: https://www.econbiz.de/10002063039
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Systemrisiken auf Finanzmärkten : unter besonderer Berücksichtigung der Märkte für Derivate
Varnholt, Burkhard - 1995
Persistent link: https://www.econbiz.de/10013417894