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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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Option prices as probabilities : a new look at generalized black-scholes formulae
Profeta, Christophe; Roynette, Bernard; Yor, Marc - 2010
Persistent link: https://www.econbiz.de/10003919904
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Numerical solution of stochastic differential equations with jumps in finance
Platen, Eckhard; Bruti-Liberati, Nicola - 2010 - 1. ed.
Persistent link: https://www.econbiz.de/10003934874
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Contemporary quantitative finance : essays in honour of Eckhard Platen
Chiarella, Carl (ed.); Platen, Eckhard (honouree);  … - 2010
Persistent link: https://www.econbiz.de/10008658151
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Numerical methods in finance : Bordeaux, June 2010
Carmona, René (ed.); Del Moral, Pierre (ed.); Hu, Peng (ed.) - 2012
Persistent link: https://www.econbiz.de/10009532927
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Finanzmathematik : die Bewertung von Derivaten
Irle, Albrecht - 2012 - 3., überarbeitete und erweiterte Auflage
Persistent link: https://www.econbiz.de/10014011423
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Valuations of generalized variance swaps under the jump-diffusion model with stochastic liquidity risk
Guo, Xun-xiang; Zhang, Hong-yu - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014581051
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Paris-Princeton lectures on mathematical finance ; 4.2010
Cousin, Areski (contributor); Carmona, René (contributor) - 2011
Persistent link: https://www.econbiz.de/10009349792
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Nonlinear dynamics in equilibrium models : chaos, cycles and indeterminacy ; selected papers of Kazuo Nishimura
Nishimura, Kazuo (honouree); Stachurski, John (ed.) - 2012 - 1., st Edition.
Persistent link: https://www.econbiz.de/10009492445